An interesting Bankrate featured article on how to save money while gambling provides some good tips.
1. Study before you go. (Know the games with the smallest house edge.)
2. Treat gambling as a form of entertainment and budget it just as you do whatever else you do for fun, such as movies, eating out, vacations.
3. Join every casino player's club you can, even if you don't plan to gamble there. (If you cannot win, at least get some rewards.)
4. Use your player's card EVERY TIME you play, no matter how small the amount or short the time.
5. Don't drink too much alcohol.
6. If you are losing too fast, go down in denomination.
7. Slow down your play -- savor the noisy, fun-filled atmosphere.
8. Look for coupons and specials for discounted meals, shows, and sightseeing tours.
9. Look for promotions.
10. Make your bankroll last longer by taking frequent non-gambling breaks.