Wireless devices tend to check with each other to stay connected but this is not a continous check, performed at intervals. In between these intervals, if no data traffic happens, I would expect the network connection to be "dropped" and need to be re-established when there is data traffic to be sent/received.
I don't indulge in gaming, but I understand the need for immediate response is shown in gamers preference for wired mice rather then wireless. I would thereby presume you would be better off with a wired Ethernet connection whilst gaming.
The only alternative is to have a small utility program which continuously pings your router to keep the connection alive.