Do you say fencing or play fencing?

Neither; you say "Fence."

To say you participate in the sport of Fencing, you say "I fence" or "you fence;" you conjugate the verb "to fence" because "fencing" is a GERUND, a noun derived from a verb. Since soccer is only a noun, not a verb, you would say "playing soccer," not "soccering." Since swimming is a gerund, you would say "I swim," not "I play swimming. You don't need the "do" because to fence is its own verb.