Don’t print customizer styles when no setting has been used

There’s not really any trick, you need to check all the values. You can save a little space though, by omitting the != '', which is redundant:

if (
    get_theme_mod( 'myplugin_h2_color' ) ||
    get_theme_mod( 'myplugin_h3_color' ) ||
    get_theme_mod( 'myplugin_p_color' ) ||
    get_theme_mod( 'myplugin_p_size' )
) {

However, it’s possible to save Customiser settings into a single array. So if you register your settings with names like:

$wp_customize->add_setting( 'myplugin[h2_color]' );
$wp_customize->add_setting( 'myplugin[h3_color]' );
$wp_customize->add_setting( 'myplugin[p_color]' );
$wp_customize->add_setting( 'myplugin[p_size]' );

Then you can retrieve the values in an array like:

get_theme_mod( 'myplugin' );

If you do this, then you could use array_filter() to remove any empty values, and check if the resulting array is empty. If it isn’t, then at least one of the the settings has a value:

$styles = get_theme_mod( 'myplugin' );

if ( ! empty( array_filter( $styles ) ) ) {
    echo '<style>';

    if ( ! empty( $styles['h2_color'] ) {
        printf( 'h2 { color: %s; }', $styles['h2_color'] );

    // etc.

    echo '</style>';