Since I want to keep Bookmarks icons and also the thumbnails, if possible, I should manually copy both BookmarksExtras and Favicons to the same drive, right?

You can do a test to find out for sure.

Make a test standalone installation. In it, browse to some sites and bookmark them. Bookmark some to "other bookmarks" and some to the "Speed dial" folder using the heart icon in the address field so you can customize the thumbnails. Then, close that Opera.

Then, make another test installation, and while it's closed, replace its Bookmarks, BookmarksExtras, and Favicons files with copies of the ones from the first standalone installation. If all works good and you get all your bookmarks , bookmarks icon, and thumbnails back, then you'll know those are the files that you need to back up when you want. Now, if you don't get your bookmark favicon icons back, you might have to also replace the cache folder with a copy from the first installation. If that makes things works, you'll now that in addition to the other files, you'll need to backup your cache folder too.