Hey, I never gave my information to anyone. Some wallets/exchanges may require some private information (KYC). However, you can create a wallet or buy bitcoin from other places that don't require KYC. Also, I'd like to advice that you make prior research so you don't fall into the wrong hands. Welcome to the blockchain technology!!
That's an option mate but sad to know that most exchanges are asking KYC when registering to them and that gives you no reason to deny if you have to use their services. May P2P services could help but the risk is high which people aren't much confident in using this. Using escrow also is one of other option but never expect that you save fees compared to using exchanger.