What I did to learn was basically trying to mimic my Windows install in terms of programs and features. I installed games I played often onto Linux and learned basic software installation and Proton by doing that, then I installed some productivity apps (mostly their Linux equivalents, not the exact ones) and learned to use those, and then did some customizing. Not everything works, at least well (VR for example), so I dual-boot still
I'd also recommend pulling up the terminal to do some basic stuff to get used to it, like using sudo apt install for some select programs, ls and cd for file navigation, etc. You won't need the terminal for daily use in mist distros, but it'll be important sometimes
Also, if you choose Mint like I ~~shill for~~ recommend, searching the forum has proven useful in my experience
Definitely keep the original files intact/backup the files before doing anything, but theoretically, I think it should be possible. Likely, though, depending on the game (especially if it's a game not made to be modded) there may be specific things like DLLs that look for a niche Windows component or driver that Proton can't translate and won't work.
That being said, Proton is open-source so there are old versions and forks that may work better, GE-Proton most famously. Also, if the game has built-in mod support or rely on a platform-agnostic runtime like Minecraft Java edition, those probably won't be an issue anyway as the engine/language runtime should handle low-level stuff like that by itself