1) go to wallet.bitshares.org
2) create and account and register it
3) make a backup of your wallet (advanced settings) .. make sure you can recall the passphrase
4) send some small funds from the exchange to your account and verify that you receive it
5) repeat (incrementally) with the rest of your funds ..
All funds you can see in your wallet.bitshares.org .. will only ever be spendable by you (or who ever has access toy our private key)
Note, the web_wallet is written entirely in Javascript and now keys are exchange between your browser and a server .. they are all stored in browser ...
Hence, a backup is ESSENTIAL!!