Help needed with the file transfer

A beginner in cybersecurity is learning to transfer exploit files from their local machine to target machines on TryHackMe (THM) and HackTheBox (HTB) platforms using Python's HTTP server command and wget. They are asking how to perform this file transfer securely without exposing their own IP address, specifically wondering if VPN can be used for this purpose. They are seeking community strategies and methods for secure file transfers.