That helps. How do I send my partially signed transaction to the other person?
It can be through QR code, file or copy and paste.
Also, if I originally had set up the wallets on Electrum, do I have to use Electrum for my future multi sig transactions? Or can I use Coinbase, Binance or any other exchange?
You can not use exchange for it. You will another noncustodial wallet that support multisig. I can recommend Electrum and Sparrow.