On many websites, the cookies are created no matter what you choose. It's a dark pattern to get you to accept all, yes, but In the end it's often meaningless.

Use a decent browser like librewolf which isolates cookies so only the site that created them can access them and clears all cookies on exit - this protects you from bad effects of cookies so you can just accept all. However, you're still susceptible to other methods of tracking (like IP address or browser fingerprint based tracking) unless you use Tor Browser or something similar.