Oklahoma requires nonresidents with Oklahoma income greater than $1,000 to file. If they gave you a W-2G, I would assume it is for greater than that amount.
As @MayaD said, you can only offset your gambling winnings by itemizing. If you itemize your deductions, you may deduct your losses up to your reported winnings on your federal return. To document the losses, you would want to have some sort of record of your playing activity.
If you did not keep track but used a rewards card, the casino will probably have some record of your play activity on their website. Their records may not be entirely accurate, especially if you play a lot of table games as opposed to slots.
Indiana will give you a credit on your state return for the taxes paid to Oklahoma. To have the credit calculate correctly, you must do the nonresident Oklahoma return first.
