The only reason to have it on exchange is if you are trading. If not and you are saving, it's a simple question. Do you want someone else to have your savings in their hands? There's always a learning curve and every bitcoiner has to go through it which is why there's soooo many great resources online but if you have anything there that you don't want to wake up tomorrow and feel greek.... I mean notice your savings are gone, take the plunge. Start with a small amount if uncomfortable and try a "soft" wallet - blue is good. You won't be asking after that, you'll simply be choosing between Jade or Cold Card. I made the journey by passing through Trezor and they're easy to use for sure but CC or Jade are step up. Also highly recommend looking up some vids on Sparrow Wallet. Signing the transactions in Sparrow really made everything a little clearer to me what was going on. Slightly more busy UI but required for clarity of transaction.