I use an SSD for windows and some of those cheap USB drives they use for PS5 and X Box .. I just bought a WD Black P 10 high performance game drive that is 4Tb and cheapest way for me as I hold my Steam games on that drive .
A lot of the game launcher clients now allow you to select where to install each individual game.
All but Xbox games can be moved around, I'll sometimes move a game I am not playing much from the SSD to a regular hard drive for storage, and then if I want to play it again, copy it to the SSD and point the launcher to the location and it finds it without re-downloading the game.
I have games installed on 4 different drives in my system.