1) use BTC mixer such as WASABI
But there are talks about people getting involved in illegal things just because their BTC were mixed with illegal related BTC.
Correct. Banks, custodial exchanges, and other organizations who do chainanalysis will reject these users and maybe even report them to the police.
2) send your BTC to an exchange like bitbox, kucoin, huobi ... then buy monero, send them to another exchange like bitbox, kucoin, huobi ... and buy back BTC
But what if those exchange are linked together so that monero transaction between two of them will be identified.
You are right again. Again, there is a human third party becoming involved in your transactions.
Here is what you need to do to maintain good privacy when you use Bitcoin:
1) Always use Bitcoin Core.
2) Always use a Tor Proxy with Bitcoin Core. It's very easy to setup, it takes about 1 minute. There are many people out there linking IP addresses to Bitcoin transactions.
3) Always label incoming transactions. This is how you can separate UTXOs which may be tracked (i.e. which came from custodial exchanges or a bank) from UTXOs which are not (i.e. you bought them with cash, you sold an item or got paid directly in BTC). This is the opposite of mixing!
4) Keep UTXOs separate. Do not mix UTXOs from untrusted sources (see item #3 above).
5) Never use a hardware wallet or other product where you trust someone else with your UTXO history. Hardware wallets can be a good solution for security in some cases but are very poor for privacy.
6) If you want to get really serious and take things to the next level, you can use multisigature schemes to move UTXOs. See:
https://bitcointalk.org/index.php?topic=321228.0 7) If you want to trade, use a real P2P system to move cross-chain, where the only metadata remains on-chain. *Do not* use custodial exchanges or any product or service that touches fiat, ever!