Αs of block 290630 of the Bitcoin block chain, the Master Protocol distributed wallets and exchanges are operational. Keep in mind that:
Αll wallets are work in progress and that constantly, new and updated features are being implemented.
Master Protocol addresses are the same as Bitcoin addresses, and as a result, a Bitcoin address can hold both bitcoins and/or Mastercoins. To generate an address, use brainwallet.org or any other method that you prefer, as long as you keep your private and public key. See a tutorial on how to do that here.
Because every Mastercoin transaction has an associated Bitcoin transaction, there is always a minimum fee of 0.0001 BTC paid to the Bitcoin miners, in addition to the fees paid to the Mastercoin network.
The Mastercoin decentralized exchanges (DEx) are also Bitcoin and Mastercoin wallets. So, when you buy Mastercoins through a decentralized exchange, those Mastercoins are stored in a wallet.