Here is my opinion, but keep it mind that it may be wrong!
You don't need to set up a company when you publish your first small games. Just be careful not to break any rules (copyright, data collection etc.), otherwise you personally may be liable.
You do need a Privacy Policy, there are websites that can generate a generic policy for you. And you will need to put it somewhere online, doesn't matter on what website, but the link should be accessible for everybody.