It's "I practise judo", but more commonly you can say "I do judo"

In Italian it's exactly the same, you gave me a confirmation about that, thanks :)

Some students or people who study (or teach) martial arts might actually be a little offended if you say 'I play Judo (or Aikido, Karate, or Kendo). The word 'play' implies that the activity in question is a sport, and martial artists might consider their art to be above a 'game' or sport in refinement, seriousness, or spiritual or mental development.

You can say practice or do. In the USA/Canada we would say 'I take Judo lessons' or 'I study Judo'. You would only say 'I do Judo' in the UK.