If I understand generating new MAC address for every session will improve anonymity?Should I do it both on GW and WS?
would do only if you connect over a WiFi you don't control. Furthermore, has nothing to do with Whonix, as this would have to happen on your host.
Have a nice day,
How is "nothing to do with Whonix"? I would change MAC address on Whonix VMs, not my physical router.
Because the place where it may be useful to change the MAC address is on the host. Changing them inside Whonix VMs is not useful.