How to install Windows XP on mid-2012 MacBook Air Mountain Lion?
As far as I know there is no way to dual-boot any Mac with Bootcamp and Windows XP. It is simply not supported. Bootcamp under Lion and Mountain Lion should be able to support Windows 7 or Windows 8; can't you use one of them to run your Windows software instead of Windows XP?

If you cannot use Bootcamp, then you should evaluate the commercial virtualization products VMware Fusion for Mac and Parallels Desktop. Either of those can run Windows XP. Perhaps they can give you enough system speed for your gaming needs.