It’s pretty easy if you use a launcher that can manage Wine, DXVK, and the like. Lutris is good for that, and even has its own database of games with ready-made install scripts. I’m told Steam can register non-steam games and handle it, too.
One nice thing about GOG (in addition to being DRM-free) is that you can download games with a web browser. There’s no need to install their store app, ever.