(This advice is given while not having read others' replies.)

To ease your sense of guilt, immediately toss the game.

In regards to what to do about your friend, you should not turn him in for this game. It cost $50 at most (I assume by your use of the word "tenner" you're in Europe, so I don't know what the conversion price is.) and in the large scheme of things, that's not so big a deal.

But you have a more important choice, also. If you want to continue being friends with him, confront him and get him to stop stealing. If he refuses and/or doesn't change his behavior, then cut him out of your life. Or, you could simply cut him out now if you don't think you can do that or you don't think he will change anytime soon.

The most important thing to do is to keep your sense of morality. Base your actions on that morality and things like this will happen to you less often and you'll have less to worry about, therefore being more content and/or happy.