There really is no definite answer in my opinion. Obviously it’s better when our money always ends up in the exchange, but this isn’t always the case. What I usually do is if I start winning a lot into a bookie then I take a break from that particular bookie. As long as you just stick to normal betting patterns.
Bookies will flag your account if every single one of your bets has a bonus attached to it, so just gotta try look like a normal punter. And remember, normal punters withdraw their cash if they win decent sums so its pretty normal to withdraw money once in a while.
Everyone has their own strategy / beliefs in this regard. But you are right in wanting most of your cash in your exchange.
Hope this helps!