There is a Toys R Us on the corner of Maryland Parkway & Flamingo that is closer than the one in Henderson. If you have a car, leave the IP through the back of the hotel; and make a right on Koval, then a left on Flamingo. When you get to the light at Maryland Parkway, make a left and the shopping center with the Toys R Us will be right there on your right. If you are taking a taxi, tell the driver "the Toys R Us at Maryland & Flamingo".
There is a WalMart at on Tropicana between Eastern & Pecos. Leave your hotel the same way; and when you get on Koval, go through the light at Flamingo & go all the way to Tropicana & turn left. Go about 3 -4 miles and after you cross Eastern, the WalMart is on your right.
Or, on the other side of the strip, at the corner of Spring Mountain & Rainbow there is a Target & Walmart at the same intersection. Leave the IP by the strip; and make a right (north on the strip). Make a left on Spring Mountain, which is the street that crosses the strip at TI, Wynn, Venetian & Fashion Show Mall (you may see a sign that says Sands Ave. Don't panic; this street changes its name when it crosses the strip). Go about 5 miles; go through the light at Rainbow then turn left where the Krispy Kreme is and the WalMart is right in front of you. There is a Sam's Club in this center also. The Target is on the SE corner of the same intersection.