As others already stated, its possible, provided the game itself is compatible with Steam Deck. While there is the Steam Cloud that saves and loads saves automatically (which does not cost you anything BTW), some games do not support the Cloud. As this is PC basically where you have access to the filesystem, you can copy files over. Only thing that is a problem is, that Steam Deck will not get recognized as a drive if you plug it to USB connection. That’s a whole other story, but to answer your question, yes.