I always try to NOT spend the money I won and invest it instead. Totally agree that the risk is too high and it comes with some effort, right timed decisions and some strategy, of course. So I only spend it to buy things if I don't have any other option and if it's really necessary.
We have to be very wise with our money. It is okey if we wanted to invest it again and again but what is the point to do so over and over again? The sky is the limit! At least, use a half of the money for our daily needs and use the other half for investment.
Do it at your own preference, it's not necessary to save your money won from gambling unless you are making a living in gambling.
The thing is we do not win most of the time so it's an opportunity to enjoy and celebrate when we are lucky enough to win, just do whatever you want and enjoy, besides you spend the money you can afford to lose and it should only be a small amount of your total finances.