Practice is definitely key, but one thing that wasn't mentioned is that you will actually need a greater level of practice if you want to keep up a fake persona.
Questions such as "What do you do?" and "Where are you from?" should have rehearsed and completely false answers. Pick a persona and practice with it - a lot.
Where are you from? Pick a big city that you know reasonably well. You should at least know some major landmarks. How long have you lived there? The better you know the city, the longer you have lived there. Having only lived there a few months gives you an excuse to not having seen the Met or not knowing where the Staples Center is. What do you do? Pick a profession that is roughly equal to your betting level. CFO's of midsized corporations don't play nickels, and librarians don't bet purple chips. Create little details about your life and always have a few funny stories to tell.
Ask yourself these questions and tell yourself these stories over and over again. And by over and over again, I mean hundreds of times. If you get bored with it, embellish the story and try again. Practice manouvering the conversation towards your 2-3 stock stories: "You're from Buffalo? I was just there for a power plant inspection last year. You wouldn't believe what I found in the ventilation duct ..." or "You think that's bad luck? The worst luck in my life happened right before this big meeting with the CFO ..."
If you're unimaginative, or if you're a bad liar, you can always start off by stealing your friend's persona. Think of an old friend, someone who has no connection to you and just pretend you're him. Tell the stories your friend repeats all the time; act like he would.