Create a script with this content:
echo performance > /sys/devices/system/cpu/cpu0/cpufreq/scaling_governor
echo performance > /sys/devices/system/cpu/cpu1/cpufreq/scaling_governor
echo performance > /sys/devices/system/cpu/cpu2/cpufreq/scaling_governor
echo performance > /sys/devices/system/cpu/cpu3/cpufreq/scaling_governor
echo performance > /sys/devices/system/cpu/cpu4/cpufreq/scaling_governor
echo performance > /sys/devices/system/cpu/cpu5/cpufreq/scaling_governor
Of course you have to choose the numbers based on the number of cores you have (this is for my six-core machine).
Make the script executable and just run it as root (or with sudo, depending on your configuration)before you start gaming.
If you want to go back to normal (to lower your energy bill and temperatures) just use a similar script where you replace performance
Alternatively you may find a plugin for your panel (you didn't state which DE you use).