Hopefully you realize by now that there are many possible ways to accomplish each of these steps. You can leave your bitcoin on the exchange of your choice. But I like to have more control so I transfer them to my wallet on my personal computer. If you're using Electrum you can simply open the application, and click on the tab labeled "Receive". You will find a number of addresses connected to your wallet. From your exchange or from any other wallet, you can send bitcoin to this address and you will see them arrive almost immediately. This transaction will have to be confirmed by the blockchain, but this doesn't usually take long. The address associated with this wallet can be used by anyone to send you bitcoin.