Electrum fully support SegWit, so it'll work. If you're not in hurry, just use 1 sat/byte fees for both transaction.
If you're in hurry, but still want to reduce spend Bitcoin on fees, you could use 1 sat/byte for first transaction (Exchange to Electrum Legacy) and perform CPFP/2nd transaction with high fees.
If the transaction is from an exchange, how he could set the fees to 1sat/byte, I don't understand. Usually exchanges have fixed withdrawal fees and don't allow to change them.
Thanks, silly me. I didn't think about this earlier, I'm thinking of just creating a new wallet with my electrum mobile App, choose the legacy address option, use that to recieve the bitcoin from the local exchange then transfer to my segwit wallet. Haven't tried it before so I hope it would work right?.
Yes it's ok.