Run them in a sandboxed VM?

VM escaping is not impossible, but its probably outside of the ability of most cracked games with malware.

Even better; Go with a bare metal linux install, and then use a sandboxed VM.

Even less malware is going to be able to VM escape and then also have any idea of what to do in a linux environment, purely because the vast, vast majority of ~~exploits~~ (I should say malware, not exploits per se) are designed to fuck up Windows.

Is this perfectly safe?

No, but nothing is.

Any legitimately purchased game with closed source, kernel level anti cheat could be doing literally anything to your PC, and you wouldn't know.