It depends on choosing the most convenient one ^{[online wallets]} or a somewhat safer route that's a bit complicated ^{[hardware wallets]}.
^{- Regarding the former, "most" of them can freeze your funds or a hacker might access your wallet and as for the latter, most [if not all] of them rely on third-party providers for offering such features [in other words, they can also freeze your funds and ask for some information]!}

If you're referring to multi-cryptocurrency wallets, always go with a hardware wallet that supports various cryptocurrencies.
^{- It gets the job done, but I prefer to not say they're 100% risk-free!}