Here is a little advice if you get caught. Just tell them you were going to the cage to cash them in. I can't count the number of times a novice roulette player has brought up roulette chips to the cage to cash in.

In fact we had a drunk last week trying to cash in roulette chips and we could not make him understand that he had to take them back to the table that he got them from. He thought that we were trying to rip him off, and he has never heard of such &$#*. We finally had to have security take him out of the casino. That was one of the funniest things I have seen in a while and i've seen a lot.