You will never leave a table with cash (except what you have left in your wallet, if any). You always purchase chips with your cash when you sit down and will leave with chips. You then go to the cashier counter and exchange the chips for cash before leaving/going to the next table. A few other pieces of etiquette:
1. Before sitting down at a table of blackjack, if it is in the middle of the shoe, ALWAYS ask the other players if they mind if you come in or if they want you to wait for the next shoe. If they are on a roll and winning, they may not want you to change the flow of the cards.
2. Before you leave the table with any chips, if they can be changed for higher value chips, tell the dealer to "color me up". This means the dealer will take your low value chips and exchange them for larger denomination chips. (ie 20 $5 chips become 1 $100 chip).
Edit: The NUMBER ONE most important rule is to have fun. If you get irritated because your losing, just walk away, you'll feel better and the people around you will as well.