There are many ways to do it, I have never used Steam like that but never heard of a ban due to cracked games. My preferred way would be using Lutris, but I have not used it in a while.

The general concept is:

1. Create a container/app in Lutris, selecting your Wine preferred version.
2. Open the container (so that it creates the directory files)
3. Copy the contents of the game into the container
4. Point the Lutris container to the exe and done.
5. Run game

These steps are not precise but the general overview. You can even switch Wine versions if needed without the need to reinstall.