Finally custom ROMS for Xperia play - locked bootloaders.
This will install ClockWorkMod Recovery on your Xperia play without the need to flash or unlock your bootloader, but remember that root is required.
Click here on another easy rooting your Xperia play :)
When booting your phone and when the 'Sony Ericsson' logo appear, press and release continuously the volume down button.
Once you are in the CWM recovery, use the volume keys to navigate upwards / downwards, the 'home' key to select, the 'back' key to go back.
To install recovery menu on your Xperia play the process is very easy, download CWM-INSTALL.rar and then just follow the steps here.
this also works for Xperia Mini/MiniPro/Active/Live With Walkman
This is not my work, and it belongs to the link I provided member on XDA forum, and me or him not responsible for bricking your device :)