Learn Farsi: آن بازی بد نیست.

Demonstrative words like آن (that) and این (this) always come directly before the noun they point to. Unlike regular adjectives, you never use the connecting sound (ezafe) after them.

Since we are learning about compound verbs, is بد نیست considered one?

No, it is not. A compound verb usually pairs a noun or adjective with an action verb. Here, بد (bad) is just a regular adjective describing the game, and نیست is simply the negative form of the verb "to be" (is not).

Where does the verb go in a Farsi sentence like this?

In Farsi, the verb almost always goes at the very end of the sentence. That is why نیست (is not) is placed after بد (bad), unlike in English where the "to be" verb comes before the adjective.

How would I change this sentence to say "That game is bad"?

You would simply replace the negative verb نیست (is not) with the positive verb است (is), making the sentence آن بازی بد است.