The words people (usually tourists) just shout out of excitement when they're going to Las Vegas; it is normal for people to slip on their sunglasses at that point and walk out in style.
Something fun you just say to annoy the heck out of other people or make a big scene (regarding your vacation plans) for no reason.
Mack: Woo! I am going to Vegas baby! *puts on shades& does the macho
Robert: What the fuck? why is it that every time you say that, you gotta go through the damn theatrics
Mack: I don't know, it's just fun.