Budget: set it BEFORE you start gambling and stick to it.
Have a break from time to time, it is important to let your brain stop and consider.
Avoid drugs / drink as much as possible, they will make you loose some control innevitably.
Seek help if you feel you are no longer in control. Make a phone call to a friend or go out and speak with someone.
Anything else anyone can think of? Like... read this post before gambling?
![Tongue](https://bitcointalk.org/Smileys/default/tongue.gif)
It might also be useful to read self-exclusion terms in a casino, maybe try to put it in a easy to access button like bookmarks (or anything if you have something easier and faster).
Lastly, don't be dumb enough to chase for wins/losses. Just take what you can get imo. It's not a job, sure you can feel frustrated if you lose but limit it to that.