That being said you are simply paid by Amazon every 2 weeks into any bank account dependent where you are located in the world. This can either be a personal or company bank account.
To set up as a company or not is really related to tax and risk. Risk should be fairly low, but is dependent on what you decide to sell, but again you should seek professional assistance on this front and particularly in relation to ways to reduce that risk, for example insurance.
With regards to tax that is a question for your professional advisors, as we cannot give tax advice. A lot of Amazon sellers just receive their income into their personal account but it depends how big you go.
Once you start making a significantly higher amount of money, utilizing a company structure may offer some advantages, but again you need to discuss this with your professional advisors.