Depends on religion. Some watered-down denominations of protestant Christianity are effectively reduced to "do whatever you want, God loves you anyway", so I don't think those would have any impact on anyone in any aspect of life.
On the other hand, religions like Islam consider gambling as haram (someone corrects me if I'm wrong), so any person converting to Islam would have to get rid of their gambling activity altogether.
Catholic or Orthodox Churches do not explicitly forbid gambling, but it's frowned upon, as it usually comes together with sinful behaviour, greed and other vices.