As pointed out above many casinos simply do not want players leaving with chips. Having chips walk off cause 2 problems: 1) the casinos have to re-order chip and 2) they have to notify the public when they no longer honoring old racks. These problems aren't small, but posting a sign asking patrons not to take chips is easiest for them.

I found in some casinos, like Club Fortune in Henderson, that the cage will sell you 1 chip and only 1 chip. The rest have to be gotten in their poker room which opened after 4pm.

Other casinos won't sell any at the cage. When I run across this policy I have no qualms about walking up to a table (I try and pick an empty one) and asking the dealer for chips. Some casinos are very helpful. The Copa in Gulfport searched an entire craps table looking for a $5 chip for me. Most consider it an annoyance to have you take a stack of chips from their table and throw off their count.

I figure the seller in the auction mentioned this as a way to increase bidding.

I agree with your method. Just play a little and pocket whichever leftover chip you want to take home.