This happens. The game cuts out, and the Xperia goes into phone mode. After dealing with the phone call, a window pops up on the screen with a "continue" option for whatever game the player was playing. Pressing it takes the player back to where he or she left off!
While the Xperia Play is being launched in Europe, it has yet to yet a US release. That is expected later this month. In the UK, the phone got a partial delaydue to buggy software.