I personally just have 3 u2f keys from different brands, one of them is a yubikey, but I only use the u2f functionality. I have read enough about the u2f standard to trust it, but the other fluff on some keys I don't trust enoug in to use on my accounts, and the basic u2f functionality works perfectly on Linux (I even use it for my Linux login) and basically everywhere

I keep one on my keychain(it has an USBA port, but I keep a female a to male c converter on it as cap so I can use it on my phone), another that has password protection instead of a single button lives on a port on my desktop and the third I keep stored, it is more annoying to set up all of them on a new account, but I know I won't loose access or have to recover my accounts if I loose my keychain.

And for sites that don't support u2f I use Aegis for TOTP which would also be my recommendation, that way if your KeePassXC database is compromised your second factor is safe, and you can also have automatic encrypted backups of your Aegis dB synchronised across devices so you don't loose them

And if you are going to be setting up keys on multiple sites don't forget to update or generate your single use recovery codes and store the safely, preferably on paper not digitally.

I personally print mine on regular printer paper on sections about the size of a library card and then I spread some UV curing resin until it soaks through, then I clean the excess and leave them on the sun for about 2 hours (most printer paper has optical brightener that makes the resin much slower to cure). I then cut the individual segments and store them on my safe

It may be paranoid, but it's extra work just when creating an account, and I started doing it after I permanently lost access to a trading account because of a lost key and a faded recovery code, thankfully it had no balance stored there at the time