No one here has really talked about the OP's question, which was about currency hedging. It's nice to babble about randomness, but this is a pretty important issue for those who invest in Japanese exporters.
I would guess one reason the company has run into trouble with the yen is that the yen has been ridiculously and unpredictably strong. Interest rates on yen-denominated assets are terrible, but people are flocking to it because it looks safer than the dollar or the euro. You can't run your company on the assumption that the world is going to face a massive crisis and you need to protect yourself against people craving the lowest-yielding currency in the world. Furthermore, currency trading is a zero-sum game (i.e. no free lunch) in which Nintendo has no expertise. A few years ago, how much would they have had to spend in order to hedge against a rise in the Yen to 90/dollar? What sort of loss would this hedge have produced if the status quo continued? Who at Nintendo is in a position to assess this risk/reward tradeoff? Maybe you want to put a non-directional hedge on the yen centered at 105 or 110/dollar, but that's an expensive hedge that will be a drag on profits no matter what.
If the yen continues to beat out the Euro and the dollar I expect Japanese manufacturers will just have to source more of their materials from and locate more of their factories in countries other than Japan. Toyota has been doing so for a while. The real advantages of Japanese companies are access to cheap capital and a highly educated workforce that can generate good ideas, not manufacturing. A rise in the yen hurts short term profits, but also shows foreign investors that yen-denominated assets can be a source of strength, and makes it easier for the company to acquire assets abroad and build their products cheaply in other countries.
Finally, the real limitation on Nintendo's profitability is not how many yen they can convert an American Wii sale into - it's Microsoft and Sony's continued insistence on losing money selling more technologically advanced products at unprofitable prices. If the consoles were sold at an appropriate profit margin you'd see even more parents opting for the Wii for their kids over a more expensive XBox or PS3. Nintendo has neutralized this problem for now by making a system that's more fun, but in the long run it's no fun to compete with deep-pocketed companies that are willing to lose money to gain market share.