Confession: My crypto is still on an exchange because I'm afraid of screwing up the transfer to a wallet.

As the title says, I'm afraid of screwing up the exchange to a wallet. I'm not tech stupid, but I'm also not an IT guy. I hear these horror stories of people losing their phrases or typing in something wrong and it makes me really leery of trying it. However I think I have enough money on the exchange that it's probably time to get a wallet. Also I use coinbase pro and I just don't trust coinbase enough to protect the money I have, plus the coinbase sub is filled with horror stories of bad customer support when things go south. Do any of you have any safety tips so that I can be sure not to screw up the transfer?