When you go gambling, only bring enough money with you. Bring only those that you plan to play. Leave those plastic ATM cards at home to avoid temptation of withdrawing from machines and if online make sure its out of reach. Also leave those credit cards too, sometimes we are tempted to use the cash advance function.
Yeah limiting our funds would be a great idea. The problem happens when people lose control of what they do. I often do this while gambling. Keeping money which i can afford to lose always helped me not to get into rage betting.