This is purely hypothetical, but a situation I HAVE found myself in (during my needy, AFC loser days when I wouldn't have a clue how to deal with it) and is probably one that will arise again.
If you're at the "seeing each other" stage with a girl (ie, sleeping together but not officially in a relationship I guess) and she tells you she's also seeing other guys - and say by implication having sex with them too - is it best to simply act like you don't give a shit and laugh it off or to let her know you're not the sort to be messed around/considered an "option" and to break it off with her?

Obviously it depends on how much you like her but my gut instinct currently is to go with the second option because to me, it feels like being played. Would appreciate your thoughts on this.

My first impression is that suggesting that you're going to dump her because of it is not the way to go. Especially not if you don't really want it and rather keep seeing her for a while. It's the military rule of 'don't threaten someone, unless you are willing to cary it out'. Not pulling of the SPAM is a major DLV as it shows you're not confident, don't act decisively, are not willing to walk away. Just the single fact that you rely on intimidation shows weakness. So considering that your goal is to keep her seeing you but throw out the other guys, this is not an option.

In my opinion you should act with confidence and carelessness, say like 'oh really, naughty girl are ya? Go ahead, as long as I'm the best' Say this as if you mean it, with humor and confidence.

If you do care about her seeing other guys you could walk away from her for a while. Ignore her for a few days and let her come back to you, but when she does don't make a big deal about the guys.