Even though I love going to casinos there's only one game I play: Roulette using the Martingale system. If I go in with $5,000 and bet $25 per spin I almost always walk away with more money than I came in with using this popular and effective system.
My strategy for gambling was to start with a set amount I was prepared to lose - once I lost it, my gambling day was done. Easier said than done, I know, but to keep from developing a problem, you've either got to have the discipline to stop gambling when you've run out of your decided-upon amount, or leave the casino (track or whatever) when you've spent your limit.