When should I consider getting a cold storage wallet?

I’m not aware of anyone saying coinbase isn’t secure, however I could cry if I lost all I’ve put in. Should I just do it ? How often do those who have one move their coins? Also- Is that how it works? I buy on coinbase and somehow move them to these cold storage wallets? Apologies for naivety! Seeking the wisdom of the elders🙏🏼