probably only micro exchanges will happen with such high fees...I'll rather withdraw to exchange and convert coins there.
You must be wrong, not all exchange on gambling site have this kind of fee. Yes they do charge some fee to pay but not as much as you just mentioned right away. Already did that before and try which is the best and the simplest way. And the result goes to exchange directly from shapeshift or whatever that they applied. You need to take your time try it to make sure of what I said