You won’t lose your progress. You will not have access to your progress if you do it wrong though. These instructions are for linking a Switch to PS but it’s the same procedure to link your XBox to it.
https://forums.theshow.com/topic/49818/switch-successfully-linked?_=1653310204433
Just remember that the linking process doesn’t change any data and your accounts don’t merge. When you unlink, your main account keeps the progress you’ve made while linked, and your sub account reverts to it’s previous state.