This is somewhat related to a secure wallet-- Is it safer to keep your bitcoins at mtgox or to put them into your wallet? What i want to know, is should I get my bitcoins out and into a wallet right away?
In theory its safer to save your coins in your own wallet, and paper wallet is considered the most secure way of doing so.
so if your not planning on trading your coins too often its better to take them out of gox.
Yet I wouldn't rush to get all my coins out of gox If i still want to trade. Gox have been hacked once and I think they will do their best to prevent a second incident.
also they compensated all the victims of the first attack for the amount that was stolen so if your account does get hacked and its not your fault (its not somebody who guessed your password because
you chose a week one or hacked your pc and got your gox credentials) and you can prove it (which probably mean it will happen to many accounts and not just one) you might get compensation from mt gox.
which is some thing you will never get if someone manage to takes coins from your private address.
I don't want to be to clear about a compensation from gox since I have no connection to gox and I can't talk on their behalf, but in the end they have an interest of keeping their clients trust even if someone will hack theme.