The wireless network is a LAN.  You can use it to play games without
setting up anything else.

Alex,

Your question makes sense.  The answer will make the most sense if you can
describe the intended games.  Are they multi-player games that require a server,
or are they peer-peer?  If server based, does one of your computers provide the
server, or is the server on the Internet?

Next, remember that WiFi is a half duplex medium, where only one computer can be
sending data at any time.  There are WiFi routers that are specially designed to
support game playing, but many WiFi routers support it very poorly.  If your
game playing is very intense, you may not be satisfied by the WiFi performance.