It kinda depends on what games you are using.

If they are online only with anti cheat dual booting is the only viable solution because most anti cheat’s that don’t work with Linux/proton will flag you as cheating if you try to use a vm.

If its some older game its prolly better to use a vm for that OS, lien a lot of old games for windows XP or windows 95 are like that. For really old ones you can just use dosbox which is very tried and true.

If it’s just some random game that doesn’t work I either A: figure it will get working in some way eventually or B: give up on ever playing it again.

I think I’m at the point where if a new game comes out and it didn’t work on Linux I just wouldn’t buy it. But I might be an outlier since most of the games I like usually get a Linux port or will work with proton anyways