How to take cryptocurrency off an exchange?

In the realm of cryptocurrency and finance, one of the fundamental yet often perplexing tasks for newcomers is understanding how to safely withdraw cryptocurrency from an exchange. Could you elaborate on the key steps involved in this process? Specifically, I'm interested in knowing about the necessary preparations, such as ensuring the availability of a compatible wallet, as well as the actual withdrawal process itself. Additionally, are there any security measures or best practices that should be adhered to in order to safeguard against potential risks during this transfer? I would appreciate a thorough explanation of this topic to gain a clearer understanding of the procedure.