It is foreseeable that the number of private keys that you must maintain may grow to an unmaintainable level.
The most common sense way to consolidate is to send your balance to a single address. This, however, effectively announces that all of those previously created addresses are linked to the same wallet.
If you really must maintain anonymity, then you could send the balance to a tumbler, and have that tumbler output different amounts to several different addresses you control. This, however, does have a cost, because tumblers are not free. Another alternative to a tumbler service is to send your balance to a web wallet that pools all bitcoin together (ledgering internally) and manually send different amounts to separate, new address. However, any time a balance exceeds one of those addresses' balances, it's likely that more than one will be used for the transaction, thereby linking them.