How do I connect my CoinEx to my wallet?

Hello, I'm curious about connecting my CoinEx account to my cryptocurrency wallet. Can you walk me through the process? I've heard that this can be a bit tricky and I want to make sure I'm doing it correctly. Also, are there any specific wallets that are recommended for use with CoinEx? I'd appreciate any guidance you can provide on this matter. Thank you in advance for your help!