Funny you should mention. I'm heading to Biloxi tomorrow for a little trip. The wife and I do this once a year, take a thou and spend 3 days doing adult things for a change. Ya know, gamble, drink, eat an uninterrupted meal, sleep in...
The way to do it is, bring a set amount of money that you are prepared to lose. If it's gone, you're done. Consider it entertainment costs.
I'm also part of the poker game that Unc attends, and I've been known to drop a fiver on the lotto if it's over $100 million.