I have been trying to figure this out, how does one create cold storage? Or do any crypto wallets have this cold storage? Why are most people advising others to go cold storage?
Cold storage is just a special way to work with your wallet.
It means that you have one wallet that never (and never ever) goes online, used only to sign transactions (transferred preferably via QR) and one watch-only wallet that can see live funds, can build transactions, can broadcast transactions (but cannot sign).
And yes, any coin's proper wallet can/should have that possibility.
Why it's advised? Since the only wallet holding keys is offline, if handles correctly it's impossible to hack. And for those knowledgeable it's not difficult to set up.