Depends on your budget but if you are planning on dropping at least a few thou - make sure that you always have the pit boss rate your play. This is how you get free meals, free shows, comp room, etc. No point if you are just playing minimums for free drinks and a good time like I usually am. I have a friend who likes to roll deep and he is always getting free shit (well, not free because he often is losing thousands of dollars in one sitting, but still).
So, there are several answers to your question - but first we need to know the budget you are willing to lose.