Loosing money always hurts, but that is why you only need to gamble with money that you are prepared to loose. If you go to Vegas, your mindset just needs to be on having fun and having a budget that you want to spend on gambling; but you always you need to be prepared to loose it all as that is what most likely will happen.
For people who only have a little money, it's better to postpone the desire to gamble, forcing yourself will only create great stress when you lose because you can't afford to lose that money. like my answer above, risk management is important in all of our online or offline gambling activities, professional gamblers apply this strategy.
This is money management 101, there is almost no person which has not gone through a difficult economic situation at some point during their lives, and when that happens we have no option but to reduce our expenses as much as possible.
And while I like to gamble from time to time when I have found myself in that kind of situation I stop spending money on things that are not 100% necessary, this way you can give yourself a respite and stabilize your finances relatively quickly.