It can’t hurt and does show that you have some concern for your site visitors. There should be some sort of legal leg to stand on if you have a decent disclaimer, all of the large corporations have them to protect themselves from lawsuits, seems logical that it would work for our industry as well.
I’ve also been considering adding a link to Gamblers Anonymous and registering with a content rating service. It’s all about being a responsible citizen, or something like that.