I was planning on playing BF3 multiplayer.... But have been reading that it needs quad core after i ordered the parts
Will i have to buy an i5 and not use my g860? if so then that would suck because its not like i can return it
No, I would only suggest doing that when you go to get a new graphics card. For now you are just fine for what you plan to use it for.
It doesn't need a quad core. It's just very helpful.
Since that graphics card won't be running it on ultra anyways, your Pentium will be more than fine - though it would have been nice for you if you had gotten the ivy bridge pentiums. (Or has it not filtered down yet?)