With Yubikey, I feel account access is pretty safe, however the risks of storing large amount of bitcoins with exchange also include other types of risk such as business failure, government intervention, etc.
A word of advice, even gold & silver can be stolen, and no technology is 100% safe.
Business failure is a risk I did consider, but have thought acceptable considering how much of the exchange market mtgox has.
Government intervention though; is there legislation in Japan at the moment that would affect mtgox?
I suppose if something like that came down the pipe I would be able to move my BTC out of the exchange account before the fact.
I would love to know how to make my own physical bitcoins. I know casascius (
https://www.casascius.com/) can make some really spiffy physical coins, but even he admits there is some risk as he does have access to "the private key", which I guess means if he really wanted to he could take your BTC. I would rather just be able to make my own and store them like savings bonds.