Best option to protect your wallet is to use official wallets , surely if you have your altcoins at the third party wallet or at exchange than there will remain chances of the scam , full at the third party wallet you will use emails to rest password and in that case your security become downs and in case of the exchange there are chances that hackers hack the exchange ( as already happened in past at bug big secure exchange ).
So if you want 100% full security than get a hardware wallet , there you will be able to make better storage of your assets .
Second thing that I know is perfect is to use official wallets that are made by the coin's team , but it will be tough to manage to have small amounts of the coins in  different different wallets , if you have bulk amount of altcoins then use wallets for every coin and make sure that your window is fully updated and fully secured with antivirus and time to time your wallets should be updated officially.
In this way you will be able to protect your assets , otherwise it will also be better for you to use multiple exchange instead of one , in this way if one exchange will face any problem then not another will get affect .