Yes, you can. However, if you choose not to, your tokens will remain completely secure on the PlayXchange.
You may need to add the technical details of the PlayChip as a custom token. These are also available here in our FAQs.
MyEtherWallet (MEW) and Metamask are easy-to-use third party wallets for longer term storage.
MEW offers a tutorial on what it is and what it offers on its homepage. Users are able to connect via browser based wallets (eg. Metamask), hardware wallets (eg. Nano Ledger or Trezor), or by generating a paper wallet or keystore file.
Along with the tutorial on the MEW homepage, Australian crypto enthusiast Nugget has done a fantastic video tutorial on how to set up a wallet via MEW. Additional information can be found on the site here.