In order to create a Gnosis Safe account, you need to connect a signer wallet as a first step. The Gnosis Safe account address will be different from the address of your signer wallet.
A Gnosis Safe consists of a number of owners
The Gnosis Safe is a Multisig account that is controlled by its signer keys. Please refer to the respective help center article to learn more about this.
Signer wallets sign and execute transactions
The Gnosis Safe web interface does not hold a private key. Thereby it cannot sign or execute transactions. A signer wallet is therefore needed to store a signer key that is used to (1) create a Gnosis Safe account, (2) sign transactions (on-chain or off-chain), and finally (3) execute transactions.
What wallet should I use and what if I don't have a wallet already?
This is really a personal decision. Gnosis Safe supports a variety of signer wallets. The most popular options are Metamask and hardware wallets such as Trezor and Ledger. We recommend doing your own research on the different options in order to decide which one is the right one for you.