Yes. The solution is to generate multiple addresses on the exchange.
And for IP I need a VPN and I'm think I'm good for it ! It will be enough caution for me

Hiding through VPN is not 100% that you can protect your self not to leak any details/information from your device or PC.
Most of the websites right now are smart they can able to retrieve some information from your PC even you use VPN which I think the information they retrieve can be still used to determine if the user uses their service with the same information even you use different IPs.
Why not use Electrum instead to make a wallet you can make multiple wallets separately.
Using exchange is not recommended if you are looking for privacy use Electrum so that you can have full control of your BTC and you can able to run Electrum with proxy or TOR.