Open private Firefox window in existing private window
The Open in Private Window extension for Firefox lets you keep your private browsing contained in one window, among other tweaks.
The reuse-and-recycle mantra can be extended to Firefox windows, in an effort to create less pollution on your desktop. With the Open in Private Window extension, you can reuse an existing private browsing window instead of Firefox's default of opening a new private window.
After installing the extension and restarting Firefox, the browser will no longer open a new private window if such a window is already open. Instead of launching a new one, it merely calls up the private window you already have open. Sure, it would be nice if the extension would open a new tab in your private window instead of taking you to your current tab, but it's still useful for containing your private browsing to a single window.
But, wait, there's more! By default, if you use the right-click menu to open a link in a private window, Firefox opens the link in the foreground. In the extension's preferences, you can set it so that Firefox opens such links while keeping the private browsing window in the background.
Also, you can tell Firefox not to send referrers in private browsing. Referrers send information to the site you are currently visiting about the site from which you came. There is some debate about whether disabling referrers will prevent some sites from loading correctly, bit the Open in Private Window extension makes it easy to turn this option on and off.
Lastly, in preferences, you can choose to add a handful of private browsing options to various context menus. For example, you can add an "Open Link in Private Window" option to the right-click context menu.
In related news, if you'd like to open a private tab as opposed to a private window, I would direct your attention to my. And if you worry about leaving private browsing windows open by mistake, the can help.