Whether it's a "must" depends really on your interests. I'm a history nut and the amount of very colorful history Las Vegas has crammed into its little over 100 years is amazing, due in no small part to the mob. So I thoroughly enjoyed it and will certainly go back.
Depending on how often you go to LV, or more accurately, to downtown, you might find it worth it to buy an annual pass, which was only $25 when I was there. The virtue of an annual pass is that you can go and just spend an hour really looking at one or two rooms.
I spent about 2 1/2 hours there, and by the time I got to the last couple of rooms, I just kind of blew throught it and didn't look at all the artifacts as well as I would have liked. I had just taken in too much stuff.
If you don't want to do that, I like tonyrob's strategy of breaking up your visit into a couple of sessions and break them up by having lunch or a couple of drinks.