There are several wallets to choose from. You can use the online wallet at tronscan.org, or a hardware wallet like a trezor or a ledger. Chrome browser has a wallet extension, and there are wallets for mobile.
Wallet security is a very important subject, and you can't afford not to educate yourself about it. This article, The 10 Commandments of Crypto Security, explains the potential dangers, and the benefits of having a good security policy.
A Ledger is one of the most secure ways to store your TRX. Here is a screencast showing how it works.
If you are interested in setting up a wallet at tronscan, we have put together a screencast to guide you through it.