Noob question. How do I exactly move BTC from exchange to "safe"

What kind of those safes/wallets (or whatever they're called) are? I know there is physical and something not physical besides the exchange.

I've been having all my funds in exchanges but I have only little trust to have my holdings be safe there.

No I don't want anyone to explain this in dm because I don't trust anyone here who comes to my dm with "a great plan"