I think that's a good question, but what practical things can an employer do here? The harassment isn't really happening "at" work, it's coming in through tumblr and personal blogs. And (I hope!!) the people sending these threats are not other employees.
The employer has more resources than the employee. Lawyers and private investigators would be a start. If I ran a company and found out my customers were sending death threats to my staff, I wouldn't care where it occurred and would throw a good amount of resources at finding out who they were, having them prosecuted, and then publicising the results as a sort of modern version of putting heads on spikes.
edit - though I would go to the person making the threats and give them the opportunity to make amends first before involving any level of publicity or authority.
No offense, but I think you misread my comment, which did not specifically single out women gamers. Women who work at game companies receive threats through the channels I mentioned with some frequency, because they have access to them.