News of hacks from a few cryptos recently should tell us that exchanges are not "hack poof" way of storing coins.
The common practice is to keep your cryptocurrencies always in your wallet, while exchanges if your direction is for trading.
But of course, no one is telling you steer clear from trading, but do it in a more secure fashion by considering risk management.
Depends on what kind of wallet do you use to store your asset. If you are using online wallet like MEW and using your private key to access your wallet, to me exchange is a better option because it is harder to be hacked than your private key
But if you are using hardware wallet, that is the way to go. Only put small amlunt in exchange for trading purposes