The first scene of Iron Man 1 is set at the iconic Caesars Palace in Las Vegas, and I paid it it a visit!
Caesars Palace itself is a rather sprawling location, but after much investigation I discovered that he leaves via the main entrance, and walks past the statues near the fountains. If you need to find it, the actual location of this is very close to the ride share pick up point.
I would not advise walking on the actual road that Tony walks upon, as it is very busy and would be dangerous, but set back from the grass area in front the statues Tony walks in front of there is a public crossing point which offers easy access for photos.
