Setting up a wallet for the Tron blockchain is very easy. In fact, you don't even need to download the entire blockchain on your computer to do so. The first step is to create an account on a site like TronLink or MyTronWallet.
Both of these sites provide a simple interface for setting up new wallets and importing existing ones. You can also set up multiple accounts on each of these sites, which you can use to keep different things separate (and if one gets hacked, the others will be safe).