There's many, but most tend to be technical more than didactic ; they assume that you already know everything about networking and LAN (Local Array Network), and just need the commands needed for that particular OS or that particular configuration. By example, they'll obvious all tell you how to "unable" NAT (Network Address Translation), but it's really rare to find one that explain you what NAT is, and therefore why you need it. And of course, none really talk about the implication in term of security.
So, you should probably starts by reading
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. It's really old and out dated (it's an AT&T guide from 1994), so there's now better way to do everything and some advice are now seen as dangerous for good reasons. But in the same time, like it date from the starts of Internet, it explain how it works and why it should works that way. Therefore it should give you the basis knowledge you need before going further.
After you can by example follow that
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, or that
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, unless you prefer
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. You can also goes with NetBSD, but like operating in LAN is one of its main purpose, there isn't really a guide dedicated to gateway.
But a guide, as complete as it can be, will not really be enough. You should use them to identify what you'll need to do and the software you'll need to use, then search for installation/configuration/securing guides for each one of them. And you should also don't hesitate to take all the time you need to understand this, restarting from a fresh install of the OS when it's needed. By building a LAN, you'll build a series of gates to your computers, so being sure that all those gates are effectively closed is really important. It's not too hard to do, but it's also easy to forget something.
Strictly speaking, there's no reason for it to not works. While the software aren't located on your computer, they aren't either seen as being remotely located ; it will be like an external hard drive. It's possible that some games still refuse to works that way, but, well, in this case just keep them on your computer.
And speed will not really be an issue. Nowadays computers have a 1 Gbps networks interface, so you'll not really notice the difference. At worse it will feel like if you have a slow hard drive.