You just burn the files directly to the CD/DVD.
That way you have the "set" of installation files ready on a DVD

Whenever I download my GOG games, I save them in:
C:\_Games\_DOWNLOADS\__Gog.com\BeneathSteelSky\
And within each game folder I make another folder for the Exstras
C:\_Games\_DOWNLOADS\__Gog.com\BeneathSteelSky\Extra\
Like
this