If you would add such code to your game, I would just NOP it ;)
Get over it.
A client is NOT secure, and cannot EVER be trusted.
Besides, I could just switch a linux router in between, and capture the packets there..
If you don't want your winsock data to be captured, you need to encrypt it with a good assymetric encryption algorithm, like PGP, and that before the data is sent to winsock.
A better idea would be to use isdebuggerpresent to close the program if that is true. But then you need to encrypt the executable, because else I'd just disassemble it with IDA, and either patch isdebuggerpresent to NOP, or 0xe9 it with return false via createremotethread at runtime, which would incidentially not be detectable with a file-checksum check.
However, this way you would still be vulnerable if i hijack the isdebuggerpresent WinAPI function and nop it. That's someting that can be achived with MS detours as well ;)