Can I mine directly to my exchange address, or do I need to setup a local wallet?

Mining to exchange addresses is not possible at this time, as the pool will not attribute a PaymentID to your mining proceeds, resulting in the exchange not being able to find out who said proceeds belong to. Mining to an exchange address will almost certainly cause your funds to be lost. Note: There is one exception, as one pool (MinerGate) has advertised that they have implemented PaymentIDs in mining withdrawals. This has not been independently verified yet (to the best of our knowledge), and the pool in question is 'closed source', thus generally not recommended.