Arwen allows you to maintain custody of your coins while you trade at a centralized exchange.
You can use whatever custody solution you like: a hardware wallet, a software wallet, or even a third-party custodian (like BitGo or Coinbase).
To start trading with Arwen, you just need to transfer your coins from your custody solution to an on-blockchain user escrow. This is just the usual process of sending coins: Arwen will give you an address to which you need to send coins, as well as QR code for that address, as shown below. Be sure to transfer the exact amount of coins specified in the modal!
When you are finished trading, your escrows will close. The coins in your escrow will return to your custody solution.
When you first set up your escrow, Arwen will ask you to specify the address that coins will return to up escrow closing. This address would be the "deposit address" if you are using a custody solution like Coinbase or BitGo, or the "receiving address" if you are using a hardware or software wallet.
When using Arwen, you enter this address at the bottom of the modal (shown below) that you fill out when setting up an escrow):
Read more about setting up your user escrows.