Will my transaction fee be way higher because it will involve putting together multiple transactions of all my small purchases?

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No, I don’t think so because of how exchanges work internally.

What exchange are you using?

River financial but haven’t sent to cold storage yet. I think they likely batch transactions to one when I transfer.

I may be completely mistaken when it comes to River, but most exchanges have a few hot addresses to service withdrawals and what you have is a database entry allowing you to withdraw a certain amount of BTC.

Now, when you’re managing your own UTXOs in self custody you do need to take things like this into account for building transactions.