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https://www.techwalla.com/articles/how-to-run-steam-from-a-thumb-drive
Create a library on the device
then choose the download location when installing a game (see the settings window of that game).
The steam client is going through an overhaul; it may become easier on the modern beta version in the future to handle external drives. (or MicroSD or any storage device that is unplugable)