If you want to walk from a casino with roulette chips I would suggest trying Hollywood in Tunica for your first attempt. It is the only casino that I have seen that does not restack their roulette chips into stacks of twenty continously. It's almost as if they don't care if the chips walk.
When you reach the Penn and Teller stage try Ballys Tunica. It's the only place where they count the partial stacks before cashing you out to make certain that you didn't accidentally keep a few<G>. Several of the dealers have told me that they may lose their job if chips vanish from their table.