While illegal, I'm pretty sure the police won't take any
actions, unless somebody can prove that one person or a gang is
behind it. If you can also prove that your items worth lots of
money, they might consider it a case.
However, if you use illegal ways to trace the person or gang, you
might face charges as well. Especially if you use backdoor trojans,
keyloggers or any other ways which compromises a user's
computer.
That will be hacking and you may be charged under Computer Misuse
Act, even though you don't mean it.
The best way would be to show proof, either by contacting the
administrator of the game server and forwarding the mail to the
police. It is no guarantee that they will help though...
In any cases, the best is to reformat your computer since your
security has been compromised.
