I am thoroughly convinced it helps comps in many casinos. Some casinos, it won't do a damn thing for you, but if you go whining to someone after "losing" a grand, you can usually get a nice steakhouse dinner for your troubles.
There is another aspect of comps which I have actually verified, namely "front money". I've had hosts tell me they will only consider certain comps for someone who is a "$x000" player, and I've been on junkets where they told us not to buy in from pocket, but deposit the cash and pull markers so we can better get credit for our play.
The logical way to whore comps from front money is to bring your whole bankroll and deposit it. Next, churn markers; that is, pull large markers, rathole chips, and pretend to lose a significant portion of your money. Lastly, ask for ridiculous comps: gourmet restaurants, free rooms, suites, gas cards, airfare reimbursement, etc.
Note, I'm not neccesarily recommending that you bring your whole bankroll. There are a lot of reasons not to: airport security, IRS, robbery, etc. But, it can be a nice comp hustle.