With big casinos you`ll anyway get problem if the gambling is prohibited in your country. They will require KYC at least and most of them will ban your country to avoid potential problems with the law.
In this situation doesn`t matter if you use VPN or the OP decision - the both ways looks the same for the law. I see 2 solutions here: to play will small deposits, that you are ready to lose, and to gamble in small casinos, that doesn`t require KYC.
I support method number 2 that you suggest, so far I have tried hard to avoid playing on gambling sites that are banned/blocked in my country. rollbit, gamdom and betnomi are three lists of gambling sites that are not blocked from my country and I am free to open them without having to use a VPN. I don't want to take the risk of gambling using a VPN, for me it's not worth it.