You need to transfer your Antshares (ANS) / NEO over to one of the wallets in order to receive GAS / ANC. Leaving Antshares (ANS) / NEO on the exchange will result in you not receiving any ANC / GAS.
Make sure you use a wallet from the official Antshares / NEO website, as other wallets may not be safe. If you are on a MAC, I recommend using the Web wallet. This version will not show any accumulation of ANC / Gas, this is due to the lack of a feature to claim them. With that said, they are still being generated to your private key, and the ability to claim them will soon be added.
If you are withdrawing your coins from Bittrex, make sure to send the the amount of coins plus .35 to cover the transaction fee. For example: If you send 27 Antshares / NEO to the wallet you will only receive 26 and lose an entire coin. You can not receive decimal amounts of Antshares/ NEO.
ANC / Gas is distributed among AntShare / NEO holders according to their relative amount of shares they hold. If you own 1,000 Antshares / NEO, you will receive close to .5 ANC / Gas per day.
Here is a wonderful calculator has been created to know exactly how much ANC the amount of Antshares / NEO you own will generate per day: