これは簡単なテストケースです。基本的なものが欠けているように感じますが、助けていただければ幸いです!
string data = @"Well done UK building industry, Olympics \u00a3377m under budget + boost";
foreach (Match m in Regex.Matches(data, @"\\u(\w*)\b"))
{
Console.WriteLine("'{0}' found at index {1}.", m.Value, m.Index);
string match = m.Value;
// These should output the exact same thing however the first is a £ and the other is \u00a3377m
Console.WriteLine("\u00a3377m" + " " + match);
}