Not worth it. Will weigh your bag down too much. Plus if you are going before 5/5 there is a Costco not too far from the strip. Or better yet, drink free Patron while you gamble.
They do at the one in Westbury; Long Island.
The Costco nearest the strip is not a regular Costco, only business (no alcohol and not a whole lot of stuff for consumers). The other Costco is far far away.