Just out of curiosity, exactly what kind of wallet would not let me receive coins on the same address I'm sending from?
Online wallets mostly, or from exchanges like MtGox because there the bitcoins from every user are together in one big wallet.
Don't use for SatoshiDICE any of the following:
Mt. Gox or any other exchange, GLBSE, Instawallet, Easywallet, Paytunia, Flexcoin, online casinos or other services (e.g., CoinDL) where you have an account,