good question bart but the answer is pretty personal. most little biggy users send directly from their exchange. these privacy enhancements are for the technically minded and extra security conscious:

independent bitcoin wallet
exchanges that hold your bitcoins with your identity are part of the global banking system and ultimately control both your funds and data. instead you can hold your coins separately from your exchange in order to store your own funds, something much more like a safe than a bank.

exodus and electrum are wallet applications that hold the coins in your device, blockchain.com has a secure online wallet.

you can go even further by mixing your coins so an analysis can not trace them, coinjoin provides such a service.

a vpn takes removes your ISP's ability to track your browsing. this