Depends on the game. I assume you’re talking about games without Cloud Saves.

Visit https://www.pcgamingwiki.com/

Find your game, find its save files on your PC. Copy them to the cloud or an external drive/usb stick/SD card.

Find the Proton Prefix, on your Steam Deck, for the specific game, and copy the saves to the proper location.

These are generally vague instructions because each game or each developer will do things differently.

But these steps should get you started.

Good luck.

I have a Razer Kishi, similar deal, I never use it. Android gaming is underwhelming, I used it for streaming Stadia and GeForce Now for a while. I still prefer a locally installed game on the Deck.

No interest in the Ally, like zero. I would love an SD OLED, but I can justify it. I’m very happy with my SD LED 512.