In order to have a crypto wallet, you need to choose from a variety of wallets (hardware, software, paper) and all of them have their own purpose.
When safety is the first priority, hardware wallets are the best option. They're foolproof and are virtually unhackable. This is so because of the various features that are available in these wallets.
1. These wallets won’t work until and unless they’re connected to a computer. When disconnected they are just a piece of metal.
2. The private key is safe inside the device itself and when not connected to the PC, it remains isolated. Whereas the exchanges (who are a third party software) stores your private key on an online server.
3. Also, as these hardware wallets are external devices, if your computer gets infected with a virus, then at least your wallet and private key will remain safe.
4. The hardware wallets possess the Two-Factor Authentication, making the transaction more secure, unlike the exchanges.
The best hardware wallets are Ledger Nano S and Trezor One.
And try not to store your crypto on an exchange as that would probably be the most unsafe option. The reason lies behind the fact that these exchanges store your private key on an online server. Plus, you must be aware of all the hacks that keep on happening.