Ok, first, you need to download the Protoshares client. Then, generate an address to send the PTS to. Finally, go to the withdrawal page on the exchange, and withdraw the PTS you have on the exchange to the address you generated (be sure to copy and paste the address so you don't mess it up). Then you just wait for the transaction to confirm, and you have your PTS on your wallet, entirely under your control.
The reason you should do this is because getting shares in future DACs is based on the private key that your PTS are stored in. If they're on an exchange, then the exchange could easily keep the private keys, and take all the DACshares for themselves. They might not even realize that they can do this, and leave hundreds or thousands of DACshares unclaimed.