Does a casino hold out any taxes from your winnings or do you fill out a form?

It depends on how large your winnings are. In most cases you are issued a W-2G form showing the amount of your winnings, this is reported to the IRS and you must list it as other income on your taxes. In the case of some very large jackpots ( in the +$500,000 range) a portion of your winnings can be withheld on the spot by an IRS representative.