First of all, please remember: Russian scammers are CRIMINALS, and should be treated as such.
They are not some "poor girls trying to make some money because their life is hard". Besides stealing YOUR money, they are also involved in identity thefts, forging documents, passwords cracking, braking into the online databases with confidential info, stealing credit cards and paypal accounts, making purchases with stolen credit cards online, etc..
To handle the load they need a special e-mailing software, like The Bat! They usually rent an apartment and equip it with computers, something like telemarketers office.
Sometimes they also make phone calls from the office.
Those are usually webcalls, or Skype, which cannot be traced.
Under NO circumstances you should be sorry for a scammer. But without actual victims reports they are not going to do anything, besides if men don't report scammers they will not have much info to work with!
And you should NEVER be embarrassed to report them. One important thing to keep in mind: don't expect them to rush and arrest scammers right after your report. Unlike Nigerian scammers, Russian scammers don't work from the Internet cafes.
Many of the sample emails read a bit like Mad Libs or choose-your-own-adventure texts, featuring decision templates that include advice for ultimately tricking the mark into wiring money to the scammer.