what’s the current best practice for this
Unzip and run. Save games in the user specific location for such things, as per system variables. A backup of said save games in the unzipped "install" location for bonus points.
Any indie game that deviates from this, will get a glare and a sigh from me. Maybe some eye rolling too.
I think that method was called "portable" once. Installers faded out of fashion maybe a decade ago. Especially for indie games.
From a design point of view, a user should not come across the situation of stumbling upon a save game of your game. Your game is the only app that will load and save such files. Therefore you just put them into a location specific to your game and the user.
If you were to have a game in which for example the users could create scenarios and share those with other people, things might be different. But even then it probably would not be necessary to register a file ending on a system level for that.