How and why should I withdraw my bitcoin from an exchange?

TL;DR: For a sound Bitcoin investment strategy, accumulate and HODL instead of frequent trading. If trading, only keep bitcoin on exchanges if selling soon, otherwise, self-custody or use a trusted custodian. Think of exchanges as temporary purchase points; you would not leave bought groceries at the store, so do not leave bitcoin on exchanges. Reputable exchanges allow withdrawals to personal wallets. To transfer, generate a receive address from your chosen wallet, input it into the exchange, and follow the instructions.

A wise investment strategy approach to Bitcoin is to accumulate and HODL rather than trade and trying to accumulate through buying and selling.

If you choose to trade bitcoin, it is recommended to only leave an asset on an exchange, where it is exposed to third-party risk, if you plan to sell it in the near future. Otherwise, there is no reason not to take custody of it yourself or hand it over to a custodian you trust. If you plan on HODLing bitcoin, viewing an exchange as merely a temporary platform where you buy bitcoin from is best. After all, you would not leave groceries at the store after buying them, so why would you leave your bitcoin on an exchange?

An honest, reputable exchange always has a way to withdraw bitcoin to your own wallet for self-custody. First, choose the wallet of choice, generate a receiving address, and paste that address into the appropriate field of the exchange's withdrawal form. Double-check the address and observe the instructions and other information the exchange gives you. Enter the amount of bitcoin to withdraw (or use the "max" or "all" button), and proceed. You should see the Bitcoin transaction in your wallet after a while.

It may take a while for the transaction to appear since many exchanges batch transactions together in order to save on fees. Additionally, some extra scrutiny may be done by the exchange to satisfy KYC/AML requirements.