I found that somehow annoying since type sudo every commands ...
It might be easier to run sudo -i, which will start a new, interactive shell as root.
... then often requires a password of that user.
That depends on how you configure sudo.
I can't see how creating a new user with sudo privilege can help since we just created a new root.
No, you haven't.
You are creating a new account, that does not have root privileges when it logs in and whose activities, including its use of sudo, can be individually audited by the system.
Those activities can be tracked back to the individual [account] that did them.
If you are doing anything that matters to a company, you should expect other people (e.g. Auditors) to be "nosing around" what you do at some point.
If you did "create a new root", then anyone that got hold of those credentials could log in without any individual accountability - you [all] log in "as root" and do things "as root" and there is no way of telling who did that doing. It was all done "by root" and that's the Problem.
Security is a two-edged sword - it needs to stop people doing things they shouldn't do but, if they somehow do manage to, you must have the means to find out who, what, when, why, and so on.
Can anyone please share how you create a new user with root privilege?
Not that you should, but I'll give you a clue - Linux doesn't care one jot about user names.
It does everything based on uids.
However, even if you logged in with such an account, with its own (very strong) password, your actions would still not be traceable back to this new account (because it would be indistinguishable from root).
