Be it CEX or DEX it's not fine to leave your coins on an exchange because that way you don't control them since most times you don't have the keys and for the ones that give you keys it's still not fine since you are not the only one with access to those keys.
As for wallets, when you choose a wallet choose an open source wallet avoid working with custodial wallets and some that use KYC verifications. Mostly importantly don't forget to keep your keys safe (brute forcing seeds is a nightmare).