If you flash often, edit the cabs. Here's my start menu to give you an idea of how you can organize everything:
I modified all the game cabs to install their shortcuts to \Windows\Start Menu\Programs\Games, and their actual install directories to be within the \Program Files\Games subfolder. That is the best way to do it if you flash often.
If you rarely flash, you can go ahead and move the shortcuts manually, but this can be time consuming if you have many games.