Yup its essential because exchanges don't personally store the crypto you purchase unlike external wallets. I wrote a post on the Exodus Wallet which I personally use along with two others, you can read more there.
RE: $20,000 (7BTC) Stolen from Bittrex (captured live on video) Huge lesson learned
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$20,000 (7BTC) Stolen from Bittrex (captured live on video) Huge lesson learned