Howdy Y'all -
OK Mys, I did a little checking and found that the majic number appears to be $10,000 or more. The IRS has two ways to nail you regarding amounts at or above that 10K.
First, should you deposit such an amount to your bank they are required to report it to the IRS. This would even be true in the case of on-line winnings. However, you can get around that simply by depositing two or more smaller amounts. Secondly, should you cash out that amount or more at a B&M room (whether from poker or any other form of gambling) they will require you to complete a W-9 right on the spot which will then be sent to the IRS.
My understanding is that the IRS doesn't consider lesser amounts to be worth the trouble to investigate. Legally though, you are responsible for claiming any and all income so that's somewhat of a personal choice. Still, they are interested so I can promise you it could be a problem.
Good luck players!