A basic security measure you should learn, being new to the crypto world is this: NEVER leave your coins or tokens in exchanges. Otherwise your tokens are not really yours and should anything happens to those exchanges (a hack, they close, etc) you lose your money. You should always transfer them to a wallet where you control the private keys. Plus exchanges won't give you gas nor credit dividends, at least most of them. So if you want to receive GAS from your NEO, the only way is having them in your own wallet. You can find several options in the NEO webpage, for your operating system.