If you've been diagnosed with asthma and you're having episodes of feeling tight chested and breathless, then yes, use your blue inhaler. That's the point of having it.
If you find that it helps, and you're having to use it frequently, then you need to re-visit your GP so that they can alter the inhalers that you use. The aim would be to perhaps move you to a different inhaler that you take once or twice a day to stop you from requiring the blue inhaler. The goal would be for you to be symptom free and able to do all the things you want to do, including sports.
If you find that the inhaler doesn't help and you're still getting these episodes, you need to see your GP to re-visit your diagnosis.
Final point of safety would be to always ensure that you take your blue inhaler with you when you go out and to make sure that it's not empty.