Allstar I forget where you said you were staying Bally's? Most of these places have room safe's which you can rent for pretty cheap, I usually bring cash and leave most of it in the safe. If not put the cash in the bank and use the ATM if you need it. I think the idea of walking around Vegas with 3k-5k in your pocket sounds like a recipe for disaster.

As far as I've been able to gather, there's a number of options but the two I liked the sound of were:

1) Setup a players account and wire them the money. But that might not be the best idea if you plan to move between rooms alot.

2) Go with cash and then buy some big denomination chips. They're easier to carry around than a bunch of cash.

The room safe is iffy because you never know who has the combination/key.
Should be okay but that's what I've heard.