Guide (works for games and normal Windows programs)

Enable the multilib repository.
Install steam with yay -S steam
Start steam minimized: add -silent flag to 'Exec' line in ~/.config/autostart/steam.desktop
Install bchunk to convert BIN/CUE files to ISO (which can be mounted natively in the KDE/GNOME file explorers.)
(Not required if a non-native game has already be installed) Filter library by tools and install the desired versions of Proton and Steam Linux Runtime (Soldier is the normal stable runtime)

Download the install .EXE & install files, OR mount the install ISO.
In steam, go to games -> add non-Steam game to library
Browse to install.exe file for game and complete adding to library
Open the Steam properties for the game, change name if desired, force a particular Proton version if the default does not work.
Launch the installer via Steam, follow the normal install procedure for the program, leave the install paths at defaults.

The Game is now installed at the location ~/.local/share/Steam/steamapps/compatdata/[wineprefix]/pfx/drivec/ (below this folder is a fake Windows directory structure, the program is installed in here). Steam does not tell you which wineprifix number goes to which game, so you have to search inside each one to find the correct directory/excecuteable.

(optional) If there are additional expansions/mods/feature packs to add onto the original install, open the game properties in steam again and change the EXE path to the additional installer(s), one at a time, and run the game again. This will install the extra software in the same directories as the original installer.
After the install is complete, change the game properties to point to the game launcher EXE, which will be in ~/.local/share/Steam/steamapps/compatdata/[wineprefix]/pfx/drivec/[Windows/path/to/]launcher.exe
The game can now be launched from Steam.