Thanks for the heads up. It was not clear to me if the wallet needs to be kept online for staking to work. Given that one has to press the Claim Gas button, I am guessing not.
Some exchanges do deliver Gas - Binance does. Bittrex I know does not. They are currently doing wallet maintenance on NEO wallet and have been for a while. Too bad as I I wanted to start the process.
Check out neos website and you can download their neon wallet.