You should care, but it's maybe more of a question about how much and about what specific things. There are some easy-to-do things, and then there's others that get exhausting

Some of this depends on why you care about privacy and where you live. It's a lot of work, and in some places, like the US, there's a lot of data being sold anyway (credit/debit cards, tvs, streaming services, and stores can almost all sell some of your data and it can be difficult to stop them). Keeping Bluetooth on also enables you to be tracked going in and out of stores and other various locations.

It can be a lot of work, but some things are more worthwhile than others. There are likely some things you're just going to have to live with.