By a cross over cable i presume you mean a direct link, ie no hub, just an uplink cable PC->PC, as long as there is some form of connection enabling your gaming system to be connected to the network then yes a cross over cable would work.. however, the computer that your gaming system is directly connected to via your cross over cable would have to be on when ever your gaming system would want to use the net.
Personally if you already have a wireless network, and that wireless network has connectivity to the internet then i would get a wireless network card for your gaming system.
Also you say "online together", what do you mean by this? I have presumed that you mean for your gaming system to have connectivity to the internet via your other system..? If so yes a cross over cable would work. However i would suggest a wireless connection as it means you can move your computer about freely if you move rooms, or will move your computer or something..
But yes a cross over cable should work without any hitches :) and no your connection speed should not be split because of it.. :good:
Can i suggest that if you do go for wireless, you get either Belkin or Netgear wireless products, they are really good :)
Hope this helps, if not and i've completely missed the point of your post then please feel free to shout at me and re-post some more detailed information :D