Pocketing Winnings as Cover?

As a cover strategy, does anybody think it would be a good idea to pocket some of your winnings as you're playing, to make it seem like you're not doing as well as you are if the pit boss comes around?

It's called ratholing. Do a search and you'll see extensive discussion of it. In general, it's a good idea if you can do it without being caught.

Yep.

If you get caught, you're in big trouble. But if you want to have an ongoing relationship with a casino, they can't know that you've taken them for thousands of dollars over the years.