What I prefer to do has been not to go more than my gambling budget. I disciplined myself with that and it is helping.
It's defiantly not fun to lose money in any form whether it's trading or gambling. The reason why some gamblers lose everything while betting is because they fail to keep them self disciplined. If you are losing and you keep putting more and more money then you are only doing to house which is accumulating your money. It's a must thing that you should have a fixed budget while you are gambling and once that budget is over you must quit batting. Gambling is a fire that's hard to control, keep this thing in mind while you go for gambling.