I mean what exactly are you looking to get out of using steam specifically? You can use lutris to play your games, and you can acquire games through means other than steam that would be P2P and have a bit more anonymity that way. Other than that, like the other person mentioned use vpn to create an anonymous account but other than anonymity i’m not sure what you can do for privacy on steam.

A non technical answer: Don't interact with other players and don't give out any personal information.

Use a unique and non-memorable username in steam and in game. Don't use any of the social functions in steam.

It's often overlooked that the biggest risk to personal information is the person themselves.

(Obviously you need to give some information to Steam for purchasing, and others have shown other methods to limit what information is sold about you as much as you an. It also depends where you reside - the EU has better protections than most)

I don't know of a guide but I'd suggest making a new anonymous account (email and privacy card) but make sure it's created while using a VPN (for that initial IP log) and then continue to use it on a VPN (don't forget DNS in general too). Then be sure to be on Linux and use the Flatpak as it's a sandboxed application. I read a thread about viruses in a Proton environment and how they can still access other parts of your system so there may be a weak point in the sandbox with Proton, but I'm no expert and have little knowledge on the subject.