Don't go to the ATM. If you don't have the self control to not do that, then leave your bank cards at home. Go out gambling with a set amount of hard cash - if you run out of cash, and have no bank cards on you, then you have no option but to go home.
Nice strategy, but there are persistent people who would go back home and take their bank cards and then go back to casinos. They really make me laugh as well as I feel sorry for them because they have reached a certain point of addiction, and it can never, or let's say, it is hard for them to go back to their normal life. What they really need is a strong willpower and strong determination. Without these two, they will do anything to play again.