Too bad Windows doesn't treat My Games like the standard libraries (Documents, Downloads, Music, Pictures, etc.). With those, all you have to do is right click the folder, select "Properties" and go to the "Location" tab where you'll find a "Move" button that lets you just select the destination you want to move it to.
I moved all the standard library folders to my (larger) secondary drive. And since "My Games" is within "Documents", that went along with it. Extracting "My Games" to live somewhere other than within "Documents" is the tricky part, so I didn't bother with that part (though I would actually have preferred it to be separate).
[ Note: This is for Windows 10. I didn't look for such an option while I was using Win 7 and never used Win 8, so I don't know how they handle it. ]