What would be good etiquette after winning a game?

mail. (if the key or gift send though mail.), comment on steam profile, or simply a thank line in that particular GA

Thanking the GA creator, a comment or a pm should be fine.

Go to the GA thread and make a new post saying thank you.

Absolutely this. Depending on if it seems they would enjoy it or not, I also like to let the creator know that i've finished, or really enjoyed a game, particularly the bigger ones, so that they are aware it didn't rot.

gg easy bby

reply in the ga, drop a comment in his profile.

make a GA and see how people will react. then mimic their behaviour
you'll quickly learn that saying thanks on GA page is the most common practice ;)