Disable Fraud and Malware Protection in Preferences/Advanced/Security (otherwise Opera software knows every site you visit)

Configure your search engines so your search queries aren't redirected through Opera Software.

Install the Ghostery add-on but disallow it sending statistics.

That's about it really, Opera software can't track you, websites can't track you and Ghostery can't track you.

But your ISP and DNS servers can still track your every moves of course.