I alphabetize by state, and then alphabetize by casino name within state.

In Nevada, I use James' scheme from his book:

Las Vegas
Lake Tahoe
Reno

Then all the small towns alphabetized in a separate section.

I used to try to keep all Las Vegas and the nearby small towns together but N. Las Vegas and Henderson got too large so now they are just in the Small Town section.

For slot cards and room keys, it's too hard to tell the town and state on many cards so I just alphabetize by club name and put all together in one book (now a series of binders, but the idea is the same). Foreign are still in a separate binder.