Don't believe other people's talk! My money stays here on the platform, I put it to yield in the blocked or in Flexible deposits, why would I transfer it and not yield anything?

Can someone explain a little about wallets to me? I'm just starting out and I left the little I have here on Binance. However, I saw comments saying that you need to keep money in the wallet. I looked at some on YouTube, such as: trust, matamask, phantom. I even downloaded them, but I don't know how to transfer crypto to the wallet. Do I have to sell them here on Binance and buy them there in the wallet? What suggestions do you have for me?