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Most games these days will back up saves automatically with Steam Cloud and saves are almost always cross-compatible, so there's little concern there, but if you want to be extra careful, you can use something like Ludusavi or GameSave Manager to fetch all your saves into one place. Windows developers love to spread their files all over the place, so these tools are good for centralizing them all.
For migrating your Steam Library, you can just use the one you have now for the most part. Steam has never done anything fancy with the library, you just add the folder and it'll detect it. If you don't have another hard drive or partition that's formatted as EXT4 to copy them over to, you can mount NTFS with the right permissions to allow it to work. EXT4 is faster and more stable, but this works as a short-term solution, and a solution that allows you to swap back to Windows and keep your games. However, I would recommend moving games that are native over to a Linux partition in that case, because otherwise they will redownload every time you swap between operating systems, and most developers don't set up their depots optimally so you will redownload the entire game rather than just the executable portions.