heatsink and fan that came with the CPU is a good one.
Peltier cooling works by means of heat exchange and might well be overheating another component such as the video card which will be running hotter during game play.
I built a new computer recently, specifically for gaming. My first build actually. At first it ran ok, no issues. As I broke it in, so to speak, it suddenly shut down on me. I mean, just turned itself off, no warning, no nothing. Since that happened, I've replaced the MB and tested the PS which tested good. There are no issues with power where I am at, and the RAM is all tested good. I've run PCMark on it and it REPEATEDLY passes tests, with no issues. I've remounted and checked my heatsink for the CPU and made sure it was seated well, but I'm tempted to see if it's just too heavy and unseating somehow..... by mounting the heatsink that came with the CPU. My comp only does this while gaming. Everything else it does just fine without any problems.
I'm running on Windows XP professional SP 2, ASUS RAMPAGE MB, 2 2GB sticks of Patriot VIPER memory, EVGA GTX 260 core 216 vid card, Intel core 2 quad cpu, Seagate Barracuda 500GB HDD, and my heatsink is the Ultra Chilltec that uses the Peltier cooling method. Any suggestions/info or info needed, PLEASE respond... I've been troubleshooting this for two weeks...