Is there a way I can prevent GOG galaxy from sending data while I am playing a game, without having to set firewall permissions to prevent, then open them when I want to buy a game?

Beyond closing it or unplugging from the internet or enacting some firewall conditions...

Hmmm an AHK script that only allows galaxy to access the internet when it's active might be interesting to write, fairly simple too....

Though i'm not sure if that kills all communication or new communications...

I mean, you could uninstall Galaxy and run the games without a launcher clogging up the pipes...

You're not forced to use Galaxy at all. For buying games and downloading games you can simply use a browser.

If you want to use Galaxy you can turn off stuff like game time tracking somewhere in the options. You can also log out off Galaxy and still play (using Galaxy to launch the game). Some communication is needed if you want to have your games updated - the client has to check your version against the latest version for download.
But if you really want no communication, simply don't use the client.