Honestly the best at method will depend on the specific game. Generally the best way is to just have the install folder for a game, and add the .exe to steam as a “non-steam game”. Force a compatibility in steam game properties and select a version of proton. Some games will require additional windows components/dll to be installed through proton tricks.

Other good options are lutris has automatic installers for a lot of games, and many will work off of a disc iso image. Bottles is also a good tool for installing windows games.