I am one of the many holders in this regard. I store all my cryptocurrencies in Binance and Kucoin centralized exchanges, not in any other wallets. I know keeping cryptocurrency in an online wallet is the same thing as keeping money in someone else's pocket. But I don't know what to do, especially since cryptocurrency is completely illegal in my country
You don't have to store your money in a centralized exchange because you can't buy a hardware wallet yet, there are good software wallets that are just as safe as hardware wallets if you do things correctly, Electrum is a very good software wallet that is open source and non custodial, you can use electrum for the meantime before you find a way to buy a hardware wallet.
Electrum can serve as a hot or cold wallet depending on how you use the wallet, it is a hot wallet if you download, verify it and use the wallet on the phone you do your online and internet activities. It is offline or cold storage if you have two devices and use one as an airgapped device that would never go online to store your funds and the other one as a watch-only wallet to 'watch', create and broadcast transactions, all your offline device or wallet does is to sign the transaction. But make sure that the device you use for cold storage is free from malware or any virus, you should also format it if it is an old device you wish to use; if you do everything correctly your money will be safe and you may not need a hardware wallet.
Download electrum:
http://electrum.org/How to set up electrum offline storage:
https://electrum.readthedocs.io/en/latest/coldstorage.html