So I have my coins from the original airdrop, saved the 33-word seed but never created or deposited into a wallet. Can this be done at any time? Is there any advantage to not having a wallet and keeping coins "offline" (security)? I do plan to hold for a long time.
The only downside to not having a wallet if you're holding is that you can't stake. For security, it's certainly a little better to not have one.
Technically, a wallet was created for you using the original seed. I guess, more correctly, you could say you don't have an active wallet (you can have an active, offline wallet). There is no problem with having no active wallet (i.e. no wallet.db file or connection to the network) as the network can identify your transactions using the seed words, so you can delete everything, then just restore from the words whenever you want to access your funds. Although, as anvoice has mentioned, this means you cannot participate in PoS, although you could create a wallet, sign up to a stake pool, buy your tickets then delete your wallet again if you're worried about access and still want to participate.
Found this info about new Decred wallets by Holy Transaction in the Poloniex Trollbox this morning. https://blog.holytransaction.com/2017/03/decred-wallet.html