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Is it worth it to gamble without thinking? Or to get caught up in the idea that you'll solve your problems with a stroke of luck? Difficult, right? The truth is that if you're going to take risks, you have to do it consciously. Don't bet what you can't afford to lose.
However, when the risk is well thought out, with limits and strategy, it can even be worth it. The important thing is to know how far you can go without getting lost along the way.
And for you, when does the risk start to no longer be worth it?

I see gambling as a form of entertainment so the only time that I see my not risk starting to be no longer worth it anymore is when I'm not getting entertained while I'm putting my bets. If I see that I myself am not enjoying to play games or put bets anymore then that isn't worth the risk therefore, I will stop betting already.
For me, gambling is a game of luck, but that doesn't mean that you shouldn't think anymore. You should consciously think about the money that you're risking, and if it's still worth it to risk those money. For me, strategy plays a little role when it comes to gambling unless you're playing a card game like Poker, but most of the games are purely based on luck.