This is a nuanced question with nuanced answers. It really depends on what you want to do and how you want to arrange your data.

Originally, partitioning and /etc/fstab were (and still are) used to lay out important directories such as your home directory, temporary directory, etc. You can add entries here to mount other directories to selected location in your directory tree. For example, you could make entries to mount a secondary drive and then redirect /games to point to that drive. It's pretty easy to move your home directory or documents somewhere else.

However, getting your software to use those directories can vary. Depending on your game launcher of choice, you'd have to figure out how to tell it to install games to your desired location. If you have a more concrete example then I might be able to detail this further.