If you really worry about your data privacy, you should enable phone encryption provided after Android 4.0.
unpluggable sdcard actually won't help you anything here simply because sdcard is not the only place storing sensitive data. Most applications store data in their "home" directories which are located on phone built-in flash memory rather than sdcard.
storing on sdcard is not something about "data-privacy" either, because any data storing on sdcard is accessible to any application while android app leaking user's sensitive data is not something new ...