It is, but an exchange address could change at any time (thus you might lose mining rewards), and it's always best to first withdraw the coins you mine (BTC in the case of Nicehash) to a wallet which you personally control the private key of, and then transfer it to an exchange. You do incur some transaction fees, but you minimize the risk of lost funds this way.

A web wallet can work for this purpose, but make sure you create a long and unique password for it, and don't store too many funds on the web wallet. Web wallets aren't good for cold storage as they have many security vulnerabilities, and hardware and paper wallets are best for cold storage.

just config your miner with stratum and wallet .
 
simple

Not sure this is a true statement. Nicehash worked perfectly with Simplemining which is Linux-based Mining OS. You probably need to find miner which works with nicehash. OS shouldn't be a problem.