Doesn't consolidating hurt privacy?
In some cases, yes:
Privacy
Consolidating your inputs links them together on the blockchain. This wouldn't be any different when you use the same funds in any other transaction, but you should consider this before doing it.
Maybe consolidate, then mix? What's your opinion on this?
My opinion: it depends

Consolidating many small inputs at once already links many of your previous transactions together. Mixing the one remaining input doesn't change that.
But in many cases it doesn't really matter: I don't mind if Exchange A can see I also deal with Exchanges B and C, but you may not want your local drug dealer to know that you just bought a jet the other day.
My advice: use coin control, and manually choose which unputs you use for each transaction you make.
Yes, but in a practical way: do you change your address every time you receive a payment from the sig campaign?
I wish

But even if I'd bother the campaign manager every week, there'd still be a spreadsheet that shows all addresses for years to come.