Over the time you eventually end up having a couple of tiny (or not so tiny) balances on various change addresses, so how are they going to be used for future transactions and what does it means in term of privacy? In Electrum, I can manually set one or more addresses to be used for the next tx.
You can manually select the outputs to be used to isolate the outputs from the different addresses.
If I use two change addresses to make a transaction to another wallet of mine, then it would be clear to everyone on the blockchain, that these change addresses belonged to the same wallet, no?
Wouldn't I have double the transaction costs, using two addresses?
Yes. If you compare it to having no change address at all, it would be obvious which of the outputs are for the recipient; one of the output will always go back to the same address as the change. Having multiple "addresses" in the transaction is the same as spending the same number of UTXO(unspent transaction output) as a public key as well as the signature has to be defined for each of the UTXO. There is thus no penalty with using, say 3 different addresses and 3 different UTXOs.