you can still be a target and your .kdbx can still be stolen from your computer or from your Dropbox account(or whatever cloud service you're using).
Absolutely. You should only store you password database locally, and use a difficult to brute force password as mentioned. Additionally, both KeePass and LastPass offer additional ways of securing your file. KeePass allows using a key file along with a password, for example. Store the key file only on a USB stick (for example) and obviously never on the same device as your password database, and then an attacker will need to compromise 3 things to steal your passwords - steal your database file, brute force your password, and steal your USB stick. LastPass has a variety of multi factor methods, including LastPass app, biometric identification, and working on approved devices only.