Easier and safer than most think.No one is responsible for your own funds but you. Trusting exchanges isn't the smart move, otherwise, why are you on board with this entire decentralized finance train? Might as well stick to your local bank.
It can be abit challenging to convince them on the importance of self-custody if they don't know/understand the purpose of crypto, if they are not interested in its ideals, if they are just in Crypto to make money, if they are not aware of the security implication, etc
One of the most disturbing things about exchanges holding people coins is that they can use them for consensus/governance and to change the rules of a Decentralized Cryptocurrency via coin voting. Wouldn't be surprised if centralized exchanges deliberately turn(or gradually turn) decentralized crypto into centralized crypto in this manner