To add to the micro-SD discussion, USB-C SSD enclosures also exist. I have an m.2 SATA SSD in an enclosure and it is very portable. I use it to play some games in between my desktop and laptop without duplicating between their respective storages. USB-C supports up to 10 Gbps - plenty fast enough for all but the fastest SSD's.
This is about how big they are.
It's trivial to swap games between these and the internal SSD.