What is the correct safest way to store bitcoins?

I'm getting used to Bitcoin as I'm entering its world now. Bought it on February and already got an almost 50% appreciation, which is great compared to any other investment, specially here in Brazil (complex tax system, trash government, manipulated inflation indexes and M2 Supply going through the roof). But unfortunately I still hold my BTC on a national exchange, and I see too many alternative options that I know are great, such as coldwallets.

Can you guys give me a quick guide on how to correctly store BTCs, which cold wallet model to buy and that sort of thing?

(sorry for the not so correct English)

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