Wearable activity trackers (WATs) have recently gained worldwide popularity, with over a billion devices collecting a range of personal data. To receive additional services, users commonly share this data with third-party applications (TPAs). However, this practice poses potential privacy risks. Privacy-enhancing technologies have been developed to address these concerns, but they often lack user-centered design, and therefore, are less likely to be directly related to users' concerns and to be widely adopted. This study takes a participatory design approach involving N=26 experienced WAT users who share data with TPAs. Through a series of design sessions, participants conceptualized 19 solutions, from which we identified seven different design features. We further analyze and discuss how these features can be combined to assist users in managing their data sharing with TPAs and, therefore, enhancing their privacy. Finally, we selected the three most promising features, namely partial sharing, reminder, and revocation assistance, and conducted an online survey with N=201 WAT users to better understand the potential effectiveness and usability of these features. This work makes an important contribution by offering user-centered solutions and valuable insights for integrating privacy-enhancing technologies into the WAT ecosystem.