No, not every time. Just like we shouldn't point the finger everytime because context is plays a huge part in determining what is offensive and what isn't. I probably make more sexist jokes per day than some people do in their lifetime, but those are jokes said around people I know who know I don't mean what I say. If I said those jokes to someone I've never met, then there'd be a problem.
Feminists should absolutely make games, and some already do. Have you heard of a game called Mainichi? It's a free game created by an ex-gaming journalist woman who also happens to be a feminist, although it's not really about feminism. You play as a transgender black woman, and you make choices and see how your day pans out, dealing with everything from the mundane things like whether to brush your teeth and risk being late, through to how you deal with being bullied and whatnot. It's a cool game :)