~ A better approach is to always keep a certain portion (percentage) of the winnings withdrawn out of the gambling site. This way no matter if you win big or small, you will always be in a position to enjoy profits from gambling.
It depends on the amount you've won. If it's less than $100, and the site you are playing on is legit, it's better to leave it there for your future play, in my opinion. I'm not saying you will win more out of it(although it's possible), but rather it will be your balance to have fun with gambling for months ahead. You can be enjoying your profits from gambling this way, you know.