Do virtual machines protect you from malware and keyloggers?
for wallet? that bad idea. it also depends on what OS you want to install. if also windows, better undo it.If only have 1 device, I've suggested you create the dual boot. just shrink your Hardisk to about 10 GB and create Linux beside windows.
if you don't want to bother, use tails OS on a stick.
why not just TOR and wallet like electrum.
Electrum is not good for your anonymity and privacy. If you want a better wallet, let's use Wasabi wallet.Electrum can connect through tor for privacy.
https://driftwoodpalace.github.io/Hodl-Guide/hodl-guide_66_electrum-tor.html#setup-electrum