I got back from Vegas 3 weeks ago. Stayed at the Rio and had terrible luck. Then again, I had really bad luck the whole weekend wherever I gambled.
Will I return to the Rio? Maybe someday, but not soon. However, that's not due to the losing, but more a reflection of the fact that I found its location inconvenient. I had previously stayed mid Strip and loved it. Being able to walk quickly to many other casinos was a bigger plus for me than I realized before.
One other thing to think about - did you have fun while losing @ Caesar's? If so, then you have to consider that in the equation. If losing in general makes you not have fun, then you should either not gamble, or gamble a smaller amount that doesn't mean that much to you.
For example, my mother gets extremely nervous even playing a $5 Black Jack table (despite that fact that my parents are fairly well off and can easily afford $500-1000 losses in a night). However, she found that she loved playing the penny slots, and if she loses $75-100 that way, well, it's her entertainment cost for the night.