You can do various strategies on how to store your wallets. As you said you can use a different wallet for each ICO, but that will be knda cumbersome to manage all the keys and accesses, a better way is to have everything in one wallet and to have it offline. That's called a cold storage wallet, basically, when you receive the coins from an ICO you can direct transfer it to your cold storage wallet and keep it offline. That way you reduce the chances of your wallet getting hacked and you won't have to worry that some exchange might get exploited and you losing the coins from the ICO. Mainly you can have one wallet as long as you keep it offline and safe, just make sure to store it offline and safely!