Bwild: Most casinos, at least the ones i've played at, do have rules for not "banking" your winnings.You're supposed to play with same stack all night, at least if you don't move to different kind of table.
But mostly onlinepoker ring-games don't have such rules. Its usual to see people go with their winnings and return with lower buy-in. I haven't played any high stakes games, so i'm not sure if its frowned upon there. But atleast with lower stakes online play it's very common thing to do and nobody seems to be bothered.