Self-custody is a means of holding your digital assets by which only you have access to them. This means that you choose not to use a third party, and instead will manage your private key personally. There are different kinds of self-custody solutions that vary in their security and ease of use, so we recommend that you spend some time learning about the various options that are available before making a decision about how you wish to proceed. New ICP token holders should have an understanding what their possibilities are for their ICP tokens, such as converting, transferring, or locking ICP tokens using the SDK command-line interface DFX.
There are various ways to use self-custody, with different levels of control.
The NNS frontend dapp is used with the most ease, but for maximum control we recommend either using a ledger nano or seed phrase and air-gapped machine. For further instruction, check out this Self-Custody Quick Start on the Internet Computer Wiki