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?
Because they advise people to keep their wallets safe as Cold wallet is an offline wallet where it was far from getting hacked.
You can check the definition itself.
https://cryptoadventure.com/a-beginners-guide-on-cold-storage-wallet/But of course, that was a little bit expensive. However, if you want security assurance and if you have a lot of Bitcoin, you'd better acquire this stuff in order for you to sleep well and not think that one day all of your money is gone.