I don't think warnings really work. If they understood statistics, they wouldn't be playing in the first place. The cigarette warning I always liked was one saying it contained carbon monoxide. Anyone that doesn't understand cigarettes are unhealthy will have no idea what the implication of containing carbon monoxide is.
edit:
Oh, and ProTip: Go to the ghetto, and check around the outside of liquor stores. Pickup all the discarded tickets, and you'll probably get some winners. The players are functionally illiterate and/or stoned, so they can't comprehend what's on the card, and throw it out. Most I "won" was a $10 card I think. I didn't specifically go to the ghetto per se, but gas stations in or near the ghetto were profitable.