How do I create a Bitcoin self custody wallet?

As a cryptocurrency enthusiast, I'm keen on understanding the steps involved in setting up a Bitcoin self-custody wallet. Could you please elaborate on the process? I'm specifically interested in knowing about the various options available, the security measures I should consider, and the steps I need to follow to ensure a smooth and secure setup. I'm also curious about the advantages and disadvantages of self-custody wallets, as well as any tips or best practices you might have for managing my Bitcoin securely. I'd appreciate a detailed answer that covers all these aspects to help me make an informed decision.