This. There is very little need for third-party tools, as long as you don't want to install a whole lot of games. After all, the installation process only happens once per game, and also without tools it doesn't take very long.

As a step-by-step guide:

• Download the games from the GoG website. You can find them if you hover the site's header bar, where your user-name is displayed. There's a "Games" button which brings you to the list of games, where you can download the installers directly. The downloads are listed under "Download Offline Backup Game Installers".
• Unpack the game installer.
  • Innoextract is your friend here. No need to run the installer, just unpack the files. Works with both, Windows and Linux games.
  • Alternatively, if it's a native Linux game, you can just run the installer directly on the Steam Deck.
    • For Windows games you can theoretically also use Proton directly on the deck. However, the process is annoying, so I won't go into details.
  • Alternatively, you can run the installer on your desktop PC and copy the files to the Deck via sftp.
• Add the game to Steam Library. This can be done in Desktop Mode. There's a menu entry in Steam's "Games" menu for that.
  • In the File Browser, you need to disable the file filter, as it (iirc) only shows .desktop files by default. You'll want the game's executable though.
• If it's a Windows game, go to the game's properties page in Steam, and force a specific compatibility tool for it, namely some recent version of Proton.
  • For native Linux games this step is usually not needed, but some very old games need to set the Steam Linux Runtime here.
  • For DOS games, check out my blog post about DOSBox on the Deck.
    • I don't know how well it works on the Deck (never tried it, as I don't feel it's necessary), but there would also be boxtron.
• Last, but not least, use sgdboop to set some artwork.