The first and foremost step is to never buy cryptocurrency from centralized exchanges, that is where most of your privacy data gets leaked. Then we can use VPN or TOR to avoid our traces on internet but my suggestion is TOR since even most of the VPN tracks our data and sell them as well.
With so many decentralized exchanges right now and it's overtaking the centralized exchange market people can now stay anonymous as long as the coin that he is trading is on a decentralized exchange, it's good that decentralized exchange is the hot projects nowadays I seldom trade on centralized and only keep coins in my portfolio that are on DEX, but there's always a point that you cannot avoid trading in a centralized exchange, just pick the one that is highly reputable.