Setting a budget is quite okay because when you make budget not only in gambling, it makes you stick to things that are within your budget and you have to be determined not to go against your principles no matter how tempting it is because I know there are times when one is in need of money so bad that immediately you lose a bet you might want to try more with the hope that you might win on several attempts.
There is a place for the above mentioned. However, there is another view from which one will consider not having value for what is left since he has spent all he has on gambling without budgeting and in most cases, what he has is less than what he has spent gambling.
I've been in such a situation before, I gambled without betting and I spent a lot and I just looked at what was left and just thought to myself, let me use it all since I've already used most of it, at least I know I used it on gambling.
This is a disastrous thought and budgeting helps curtail it.