To add further context for OP: IT departments typically monitor for VPNs or proxies on employee systems, as these can indicate unauthorized or risky activity. When they check your system and see you were bypassing the company network to play games, there will be serious consequences.
If your company is more 'relaxed' and you are allowed to play in your lunch break, you can ask the IT department to help you out and to be on the safe side to not breach any company policy. Whatever you do on your system, just assume those guys know about everything you do. Everything gets tracked and logged usually.