I want to invest some more to Bitcoin for longer term. Till now I always used exchanges and blockchain.info to store small amounts. I am worried about running Electrum or any cold storage key generators, because of chance my Windows PC is infected. What are my options? I am thinking if it would be possible to run some Linux distribution with GUI from USB stick, install Electrum wallet on this OS to generate keys and seed words and backing everything up until needed.
It will be more safer if you do make use of electrum instead of exchange wallet and blockchain.info itself yet we have all known 3rd party wallets wont really give you the access into your wallet address and once those services shut down then your coins will be gone forever and theres no chance for recovery.
Regarding to your question, before making any transactions or transfers just make sure you do have a clean PC which arent prone to malware or any keyloggers. If you do make use electrum you can create and be sure to back it up the privatekeys and make your wallet encrypted anytime.