I don't want a state to tell me what I can and can't do with my personal life as long as I'm not doing harm to anyone else.

Here's why this take is wrong. Gambling is never a "I'm not doing harm to anyone else" situation. Gambling is always a material relationship between 2 people or more people. You may feel like gambling is a personal situation because of alienation, but it is not. If you are playing a slot machine for example, you are in a material relationship with the slot machine owner. In this situation, the slot machine owner has a power advantage over you and is exploiting you. In cases of sportsbetting or card games, you are doing material transfers between people over arbitrary terms and the casino owner is always taking a cut. Gambling is always harming someone else. If you win at gambling, it is because you harmed someone else. If you lose at gambling, then it is because someone else harmed you.

To go further into why into why gambling is an exploitative relationship. Gambling is a transfer of unearned value. Money is a representation of value. Value comes from performing labor. When you are a proletarian and sell your labor, you are receiving money (a material representation of value) in exchange for your labor, usually the money you receive is worth less than the value of labor you performed. When you gamble, you are not doing any labor (you are not producing anything) but you are potentially receiving money. You receive money from speculation. In selling your labor, you receive value equal or less than the value you produce with labor. In gambling, you receive value for producing no value. This is the same reason why the bourgeoisie is a parasitic class, because they extract value without producing value.