I don't see a problem with a bunch of random idiots burning games as long as they don't make it a policy to track down all copies and burn them. Burning a few copies is as much free speech as the games themselves. Who does this really hurt? They still have to buy the games so the companies get their money. They're not going out trying to wipe the game off the face of the earth, they're just making a statement, which is their right.
Now if it does get to the point that they're going door to door and demanding people who have nothing to do with the church turn over any copies to be burned, then we have a problem and it would need to be stopped. With excessive force if possible.
I remember hearing about something similiar with Harry Potter books for being satanic too.
Though one has to wonder if it's really wise to burn those plastic cds and dvds. I'd imagine the smoke would be rather bad for one's health.