Habitat18,
I run XP in Parallels and I can close the cover with XP running and never run into problems doing that... Matter of fact I have left XP running for days with no problems...
As for XP in Boot Camp, I can't say, but you could try it and see what happens once. If it gives you problems, then you know what not to do. If the rumors you've heard suggest it's being unrecoverable, well then of course don't try it.
You could consider using Parallels or Fusion... each lets you interact directly with OS X, but of course that slows the games down

Then you could always close the cover because it's OS X running as well, and it won't cause problems.
Noel