If you follow the link or index, a copy will not be made. If you want to save the pointer, then yes, you need to save it somewhere.
Note that it is usually better to use constructor initialization lists rather than assignment. prefer:
Game( const Board& b, Player * player ) : _player( player )
{
}
in
Game( const Board& b, Player * player )
{
_player = player;
}
, .
anon