It's easy.
Download the wallet like they suggest and the info (pdf) next you do not use it!
Instead you fill out your own TRX wallet address where it says "Link an existing wallet address".
Each time you withdraw the TRX goes straight to your TRX wallet.
So do these steps before you withdraw.
I tried to skip downloading the Tron Link wallet but without this step I could not directly link my own.
@wakeupkitty Thanks much for your response! I do have that PDF info already saved. But are you saying I should create an additional TRX wallet outside of that as well and just transfer to that wallet instead of the one they suggest?
If you already have an account like Nexo, Coinbase, Exodus I suggest you use that TRX wallet instead of the Tron adviced one.
I would transfer it personally, I went straight for the tron wallet without using the proposed one. Felt more confident