I get that everyone has to make that decision now, its not just about paying premium fees now, but if you're creating small UTXOs in your wallet you're only going to penalise yourself in the future too

Sure you can go with a custodian be that an exchange or an LSP, or even a federated custodian like Liquid, all about your risk profile i suppose, until you're ready to go on chain.

No right or wrong way to stack really, just as long as you know the risk and happy with it.

Is liquid perfect? No but I think 14 custodians colluding versus 1 seems like a marginally better option for me, but to each their own