What could go wrong with having a offline device to store your wallst on? Any risks I should be worried about?
Well, don't lose your device. And you should have a backup.
But the important question (which you didn't answer yet) is how often you want to send BTC.
If it is quite often, you need some form of watch-only wallet to create unsigned transactions.
And here is the difficulty. You need to make sure that you are not leaking any information (i.e. that you install / use that wallet) to your ISP (or who are you trying to hide it from?).
If you don't trust your ISP -> Use a VPN and Tor. (This btw is one of the rare cases where a VPN actually is useful; If you trust your ISP, do NOT use a VPN).
And do
not use winodws. Use linux and encrypt your installation. This is important.
VPN/tor isn't banned, the only thing banned is crypto, and I just want to store a sum of bitcoins in a wallet and leave it there for months+ I don't usually use crypto to transact anyways, only holding