At first I dual booted with Windows and kept my games on the Windows drive. You can just tell steam the path to the games, after mounting the drive. Some games ran fine, some were a little more difficult or impossible to play, even when reported as working on protondb. The reason apparently was NTFS that wasn’t playing nice. That was the moment I ditched Windows entirely.

Under the hood windows uses NTFS, while most Linux distros use EXT4. Linux can read NTFS, but Windows can’t read EXT4 without some tweaks. So I thought my setup was good.

You can try this setup for yourself, it’s a good intro IMO.