I had a safe deposit box at Binion's for several years until they closed them down. All the regular poker players, even out of town players, at Bellagio have boxes right in the poker room. The boxes are governed by Nevada Banking Laws. What the casinos don't like to see is no activity on the box for several months--you might get requested to close it.
When flying carry W2-G's from past video poker hits to prove where the money came from. Take Puggy Pearson's (one of the old guard poker player's from the Brunson/Moss crowd) advice and never take your whole bankroll to the same game. Sorry Administrator, just wanted to get my 2 cents in.
Happy Thanksgiving