Do not delete the thread if this answers your question.
This is my method for GOG and other offline installers.
To run the installer, I use GE-Proton9-27. Something happened with Wine 10 and some installers completely freeze after a few seconds. Wine 9 still works well enough.
Create a directory for the game's prefix:
mkdir -p /path/to/game/prefix
Then run the installer with Proton (assuming you've installed GE-Proton into Steam's compatibilitytools.d directory):
WINEPREFIX=/path/to/game/prefix ~/.local/share/Steam/compatibilitytools.d/GE-Proton9-27/files/bin/wine /path/to/setup.exe
Then install the games to the C: drive.
I like having my games installed outside the prefix (e.g. another directory mounted as the G: drive, or an absolute path in Z:), but for some reason, lettered drives other than C: are mounted as some kind of union filesystem where changes are only written into memory. If you want to have a game outside the prefix, you'll still have to install it to C: and move the directory afterwards.
You'll then have to set up a launcher to manage and launch the actual game. I recommend Faugus Launcher, but Heroic and Lutris are also options. The two most important fields to set are the prefix and the executable path. In Faugus and Lutris, you can set those paths when you add the game. Heroic creates a separate prefix by default, but you can set the prefix math manually in some sub-menu.
You can select the latest Proton (or GE-Proton) to run the games, downgrading to Wine 9 was only necessary for the installer.