Yeah don't combine utxos if at all possible. But even more important: Be mindful of what backend (electrum?) servers your cold storage wallet is using! If it is not your own electrum server, whoever runs the electrum server can correlate the utxos that are in your wallet. So run your own electrum server or whatever backend your light wallet or hardware wallet might use.
Discussion
Wasabi solves the network level privacy of cold storage as well, you can use Wasabi as the front end to privately sync and broadcast transactions for your Coldcard, Trezor, or Ledger. Your cold wallet addresses don't get leaked to any electrum servers since filters are used to identify any block that contains one of your transactions, followed by downloading the entire block locally.