Are Cold Wallets Safer for Storing Winnings?

Alright, serious crypto question: when betting with Bitcoin or any crypto, is it better to transfer winnings to a cold wallet right after? I heard leaving them on the site wallet could be risky, but then, moving them back and forth each time sounds like a hassle.
Anyone got advice? Which way’s actually safer in the long run, or am I just being paranoid? 😅
 
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