Take note that you should not use a multisig wallet if you do not know what you are doing, and obviously you do not for now, you can easily make a mistake while trying to set it up and lock yourself out of your funds for good. Extra layers of security like a passphrase and a multisig wallet is great, but only if done correctly and in a very safe enviroment.
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 don't own the keys to your funds in an exchange, so your exchange wallet cannot be a co-signer in a multisig wallet. Setting up a multisig wallet with all co-signers on the same device also defeats the purpose of creating one, thought you should know that too.