Which ways are there and which way would you recommend to change the
save location for the clips?
You should just move the Captures folder.
To find your game clips and screenshots from Game DVR, select the
Start button, choose the Xbox app in the Start menu, and then go to Settings > Game DVR > Saving captures and select
Open folder.
To change where your game clips are saved, use File Explorer to move
the Captures folder anywhere you want on your PC. Game DVR will
continue saving your game clips and screenshots in that folder
wherever you put it.
Where are my Game DVR clips and screenshots saved in Windows 10?
You can also move the Videos profile directory itself.
Open up This PC.
In the navigation pane (left-pane), right-click on the Videos folder and then click Properties. This action will open Videos
Properties.

Switch to the Location tab.
Click the Move button, browse to the location where you would like to save Game DVR clips and the Videos folder. Click Select
Folder button.

- Finally, once the folder locatin has been changed click the Apply button. When you see the following confirmation dialog, click the Yes button.

How To Change Game DVR Folder (Captures) Location In Windows 10