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Is my best bet to just park at the Venetian and take the walkway from the convention center?
If you don't mind the time and some walking involved, you could likely park for free at Sahara and for a fairly low cost take the monorail to the Venetian/Palazzo station. If you still have myVEGAS, there are some monorail discounts in there.
There's a Venetian/Palazzo station?