We investigate privacy concerns and the privacy behavior of users of the AR smartphone game Pokémon Go. Pokémon Go accesses several functionalities of the smartphone and, in turn, collects a plethora of data of its users. For assessing the privacy concerns, we conduct an online study in Germany with 683 users of the game. The results indicate that the majority of the active players are concerned about the privacy practices of companies. This result hints towards the existence of a cognitive dissonance, i.e. the privacy paradox. Since this result is common in the privacy literature, we complement the first study with a second one with 199 users, which aims to assess the behavior of users with regard to which measures they undertake for protecting their privacy. The results are highly mixed and dependent on the measure, i.e. relatively many participants use privacy-preserving measures when interacting with their smartphone. This implies that many users know about risks and might take actions to protect their privacy, but deliberately trade-off their information privacy for the utility generated by playing the game.