I choose both. there are some of my tokens that I keep in the exchanger, there is also what I keep in the wallet. why I save in exchanger? because if at any time I want to buy altcoin, I don't have to bother to send it again. advice, if you want to keep investing, just save it in exhanger, if not better open a new wallet.
Both is a nice option for most people that need the money stored or spent on demand. I choose having an active wallet on an exchange because I could make trades with it.