It depends on the amount of coins you have and the period of time you are going to hold them. If you need these coins for trading in the near term, it's OK to keep them on the exchange. In any other cases, find a non-custodial wallet. Some exchanges have wallets-partners they perfectly work with like Changenow and Atomic, Bitfinex and Ownr. The best wallet to use with Binance is Trust.