Install via Lutris, with the option "Install windows exe". Tick the box to add a shortcut to steam.

Works natively, it's meant to do exactly that, never had a problem doing that, and it can all be done from the deck itself, no other machine involved :)

For games:

1. Open desktop mode
2. Install the game as you would normally on a Linux machine, i.e. if the game has a native installer use it, otherwise use wine, Lutris or whatever you're used to run windows installer on Linux.
3. Add non-steam game shortcut

For music I have never tried it.

Easiest solution I've found is to install the game on a Windows pc, then transfer the files using something like FileZilla, then adding the game as a non steam game in desktop mode and enabling proton via properties in steam.

Every game I've tried this with has worked