Here's how I just did mine since I realized that was a great idea and could replace my games folder on my desktop.
1. Create a Games Folder where ever you'd like. (For mine I just threw it in Documents)
2. Keep that Folder Open in A Finder Window so You can easily drag and drop
3. Open a New Finder Window
4. Navigate to your Applications Folder
5. For each game you have, right click on it and Create. Then drag this Alias Into your games folder.
6. Once you have created an alias for each game, drag the Games folder you created into the dock. This will create a stack of all of your games for you.
It is important that you keep the folder wherever you created it and don't delete it. Also, I would recommend making them as aliases instead of dragging the whole application just to keep things all in order.
Hope that helps.