To avoid been a victim of loosing your Bitcoin, it is better you first receive any bitcoin payment into your wallet that you can easily access and control with your password/passkey and can restore the wallet at anytime.
Third parties wallets like exchange wallets, have the control of the end owner and if your bitcoin is from some bitcoin services like mixers, it may not go well with those exchanges based on their AML laws and the other regulatory demands on them this make all the other efforts to abide by the bitcoin privacy feature usless.
So being sole custodial of your bitcoin, making sure that you have all bitcoin in your wallet and backing up all your private keys to your wallets saved so that you can use it to recover your wallet at anytime.