Here is a list of supported wallets: https://serum-academy.com/en/wallet-support/
Please ensure you practice good measures when it comes to storing your crypto assets.
Here is a step-by-step guide on how to connect your wallet to the Serum DEX: https://serum-academy.com/en/serum-dex/connect-wallet/
Using a supported ERC20/SPL wallet will enable you to have options to receive ERC20 tokens and convert them to SPL in your desired wallet.
A step by step guide can be found here: https://serum-academy.com/en/serum-dex/sol-wallet/#:~:text=You%20can%20deposit%20ERC20%20tokens,from%20FTX%20to%20Sollet.io.