what do you use wallet or exchange for? Do you want to trade or hold ?
If you hold on a mid term or trade, you should use exchange. And hold your coin for security, you should use hardware wallet.
It depends to you.
Long Term HOLD - Best yo use the hardware wallets available in the market like ledger. Also good for acquiring split tokens during HARD FORKS. Most secured
Trading and Short Term HOLD - Better to leave it on exchange since you constantly change your crypto. Remember that wallets provided by exchanges are considered HOT Wallet.