How to protect privacy and stay sane? It feels like I have to think and do everything or it's all useless...

It may seem daunting, but you can try taking care of the basics first, and then build onto it as you become aware of more threats and as they seem worth the implementation of not.
Yes, one security hole can end up releasing your data just as bad as if you had no security at all, but most of the ones at the reach of a script kiddie tend to be quite easy to patch up.

Think about what you don't want to be known, then don't put it online. Done

Every piece of information you do not put online is one piece of information less.

Every message you send through verified end-to-end encrypted software is one message less through the data-hogging services.

Every search query that doens't go into the big google is one query less through a mass surveillance engine.

You don't have to switch right away with everything, building up gradually is a very good start! Also I am not into advertising my own shit but keep an eye on the privacy comparison site I'm building as you'd be able to see an easily human readable list of services which are bad or good for your privacy :)

Privacy is a myth