If you make more than 10k per year from gambling, pay your taxes. The government doesn't give a shit if you are a player... But if you made money, and don't pay your taxes, they WILL nail you. If you make more than 50k from gambling, and don't report it, you are now in the "Tax Fraud" area - which means potential jail time.
Now, if you pay taxes on "Gambling Income", and all that income is somewhat illegal, you're still fine. I'm pretty sure that tax returns can't be used to prove any crime unrelated to tax offenses. If you paid $1m for taxes on illegal gambling, you aren't going to get hassled.
Btw, I am not a tax lawyer (I mainly did insurance law before switching to this full-time), but I've paid a pretty penny for legal advice on gambling related tax issues. If you make 6-figures from this hobby, send me an email and I'll give you the name of a super tax attorney who does a lot of tax returns for gamblers. It will usually run 2-4k, but there are legal ways to defer your gambling income for almost a year.