The trick is to cleverly store them in your mouth until you have "squirreled" away as many as you want. I prefer to fake a yawn, and as I cover my mouth - ta daa! Collectors have been known to choke on their own greed, but as chip chompers say, "bet you can't eat just one". When your last chip from the table has been picked up, and the dealer says, "Thank you", just reply "Mffgh tggghm", and stroll casually away.
As you leave, you may want to bow to the dealer. This is known as the "chip and dip" manuever.
This method of roulette chip lifting is rapidly replacing the old super glue on the elbows technique of the past.
Hope this helps,