Harry has posted a lot about this on various forums
You've nothing to worry about on this front, I cashed in event 3 this week and the team at the rio filled out all the forms for me and now I have an ITIN number I can use for life and didn't get anything withheld. Don't bother filling out any forms in advance or visiting any tax offices there's no need.
You run goooooood
Hope your having fun, gl m8