To take full advantage of the unique properties of Bitcoin as money you need to hold your own private keys. As Bitcoiners say “not your keys, not your Bitcoin.” It is empowering to be able to hold your bitcoin in your custody so that it cannot be seized or confiscated by banks or the hackers that target them. But choosing to hold your own keys does come with the responsibility for the security of your Bitcoin.
When you are ready to set up your Bitcoin wallet you can start with this article we've prepared to get you started, and then check out Jameson Lopp's excellent recommendations.