I see a lot of calls to just buy physical media but there are plenty of things that aren't available on physical media. But you can still make your own and depending on what it is, you might not need much to make copies. Games on Steam, for example, can be backed up by copying the installed files and finding a crack if it actually uses Steam's copy protection system (many games don't need cracks and can just be copied and run; such as Kerbal Space Program).

You can do this with GOG games too, and not even worry about cracks because they have no DRM, allowing you to merely make copies of the installers themselves.