Unless you are hosting the game there should be no problem, you do not need to use the DMZ host option.
When you online game, you usually initiate the connection to the server, at which point the Linksys will happily rebuild the reverse connection to the appropriate pc.
It is running this using NAT overloading, and as long as the server does not try to build a connection to you that was not solicited, you are okay.
Also, if you know the service port that a game runs on, you can set up static forwarding to a specific PC on your network based on the incoming port number. Thus you can run Napster etc. without problems.
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