How do I protect my Bitcoin from theft after using an exchange?

I recently started investing in Bitcoin through an online exchange, but now that I've deposited my funds, I'm worried about how to keep them safe. I know exchanges are regulated, but what if there's a security breach or hackers target the platform? Are there any additional steps I can take to protect my Bitcoin from theft?

I've heard of cold storage and hardware wallets, but I'm not sure which option is best for me. Has anyone else had experience with using an exchange and then storing their Bitcoin in a secure way? Any advice would be greatly appreciated!