In legal terms, theft is not the same thing as copyright infringement.
To be guilty of theft you have to have dishonestly appropriated property belonging to another with the intention of permanently depriving the other of it. Sharing a game, whether that be by uploading it via P2P, duplicating it, lending it to a friend, etc... is not permanently depriving another party, hence why those who receive these letters, such as the OP, are not being accused of theft but of infringing the copyright.
Therefore, asking whether the OP would "nick a game/dvd/cd from a highstreet retailer" is irrelevant - you might as well ask him if he'd smoke marijuana... that's not related to what Davenport Lyons are accusing him of either.
Instead, you should have asked if he'd record onto tape the Top 40 on a Sunday afternoon, or whether he would lend a friend a DVD he has bought, or if he would show a film on an oilrig (assuming he worked on one)... at least these are actually cases of infringing copyright - the same thing as he has been accused of.