It is NOT required to keep a personal diary of gambling. More about that later.
Professional gamblers file differently, as they can deduct certain related expenses. Doesn't apply to your questions.
The win/loss statements "prove" your yearly losses equal/exceed your winnings. The tax thing is about the whole year, not just one gambling session or gambling win.
The W2-G is generated when a single pull/win exceeds IRS regulations for that type of game. For slot machines and VP, it is $1200. It is different for Keno, for horseracing, etc. There are no regulations for table wins (live ones...I don't know about electronic blackjack, etc.), therefore no WG-2 is generated for table wins (which of course is good for the gambler). You don't do anything about a W2-G win (other than save it) until time to submit that year's tax return the next year.
Anyway, the machine locks up, they bring you the W2-G to sign, they give you a copy which you keep. The casino sends their copy to the IRS. If you itemize on your return for that year, you (or your CPA) will enter each W2-G for each win. That shows your gambling winnings for the year. In Vegas they don't deduct state taxes from winnings. In Arkansas and Mississippi, state taxes are deducted from winnings when they pay you. Probably other states as well.
Your casino win/loss statements show the total of your winnings or losses for that casino for that year. This isn't broken down into days or weeks or anything. Some list jackpot winnings separately, but I think most just include it in the total of your winnings.
You can only claim losses up to the amount of your winnings, but at least those winnings don't increase your taxable income.
You can have hits/wins of $100 all day long on a slot machine, for example, but only when one single hit/win is at $1200 or more does the machine lock up and a W2-G is issued to you (and the IRS). Those are the only ones you are concerned about.
When/if you are audited, you receive a "Dear Taxpayer" letter containing all the information you need to submit to support your tax return for the year they request. Included in the communication from the IRS is a booklet which tells you what to do, including the types of "evidence" accepted, which includes casino win/loss statements. Also losing sports, horseracing, lottery, keno, etc. tickets are accepted. Also, the personal diary is accepted, but not mandated.
I was audited. I submitted only my Win/Loss statements from each casino, the total of which documented my losses which met/exceeded the total of my W2-G winnings claimed.
These were accepted as "evidence" of my losses, no further action required.
I had not kept, have never kept, a personal diary.
Most people wait until after the end of the year to send for their casino win/loss statements. They often aren't completed until January or February anyway. Just file them away at home.
If you receive notice of audit, you have a pretty good amount of time to reply. You can get win/loss statements for years back if you haven't already. You might forget the casinos you played at should you be audited for a year five or six or so in the past, so best to get them after the end of each year that you will be submitting a W2-G.
The win/loss statements contain a disclaimer that they cannot verify its accuracy and the accuracy of your wins and losses, which leads people to believe they are not accepted by the IRS, but again this is not so. Read the IRS instructions. Some folks have said their w/l statements looked wrong, so keeping a diary may be helpful for some. I tried one time...couldn't keep up. The statements usually have a number to call if you think you w/l is way wrong. I don't know how that would work. Maybe they run your card number through again, or something.
