Basically just install it on all 3 devices, then identify which folders need to sync. And back up any saves you care about first, just in case.
First I set up the Shield. I think I just found it on the play store. Then set up each folder I wanted. SyncThing gives each shared folder a unique code, so when setting up folders on other devices you just enter that to let SyncThing know those 2 folders should sync. The Shield might not be ideal: a Raspberry Pi or something might be easier to work with than Android TV, but it still works.
On the Deck, you can just go to Desktop mode and find Syncthing in the repository. You don't need to do any major changes like the Decoy loader or anything, but if I remember correctly it's handy to have FlatSeal as well to grant the various programs permissions to each other's folders. I also installed SyncThing GTK and added that as a non-Steam game, so even in Gaming mode I can access a GUI for it. I think that also made it easy to set up SyncThing to automatically start.
From there I chose to make a new directory, set that folder up on SyncThing, and then re-configured my emulators to save there. Retroarch, Dolphin, PCSX2. They all have different settings for it: PCSX2 sets up virtual Memory Cards, for example.
On Windows, I just followed the instructions to install SyncThing, then I also installed SyncThingy, which makes SyncThing run on startup. On a full desktop I found it easier to just use the existing folders for each program rather than create new ones and move them around.