It is rare that they will try to outright steal your chips ("keep" them). Again, Gaming Control or even the local police would probably be worth calling, since this would be theft, a felony in most jurisdictions.
Do not let casino goons bully you. If everyone stood up for their rights, there would be even more lawsuits aginst casinos for their frequent illegal actions, and enough jury awards would finally make the head honchos take notice. Large money awards are the only thing they understand.
...this is all 'bout as powerful as a popcorn fart in the middle of a war zone. War zone being Indian land and their casinos. They get to do anything they want, however they want. We have very little rights while on their land. But it's still good advise regardless.