Heading to Vegas
Smith's supermarket has a very large kosher section, including a varied take-out department, groceries, snacks, and baked goods. You can find the address on the Shamash Kosher Database, as I don't remember it offhand. Be aware, that it's quite a drive from the strip. Albertson's, which is a bit closer - though still not that close (on Fort Apache Rd. and Sahara Ave.- across from Panini Grill Restaurant) - also has take-out, and groceries, but not as extensive a selection as Smith's. They do have bbq chicken, kugel, and deli, as well as kosher groceries.
The take-out in both places is decent, not great.
Another option is Jerusalem Restaurant, which I seem to remember had a Shabbos take-out menu. The restaurant itself had pretty tasty food, so I assume their take-out package would be good as well.
The above info. is based on our visit to Las Vegas, in November, 2011. Don't know if anything has changed since.
The takeout from Albertson's was decent, like you said. Chicken was good, cold cuts were good, kugel was not. Challah and some packaged bakery items were Zomick's. We bought some bagged salad, plastic plates, and a bottle of salad dressing. Fruit selection was ok, but expensive. Panini Grill was very helpful about packing up some salads to go with dressing on the side.