Michael Phelps has taken another lap with his girlfriend – a big one. She's spending Thanksgiving in Baltimore with him and his family.

The Olympic champ has been dating Las Vegas cocktail waitress Caroline "Caz" Pal, 26, for about two months. The two met after his record-setting performance in Beijing last summer.

"She's there [in Maryland] meeting his family for the first time," a source close to Pal tells PEOPLE.

Along with dating Pal, a waitress at the Palms Casino Resort's Moon Nightclub, Phelps is spending time in Vegas working on his poker game.

Sources tell PEOPLE he's hoping to participate in the 2009 World Series of Poker. He recently made it to the final table of the Caesars Palace Poker Classic.

"It was fun!" he told PEOPLE after the tournament. "It's just like a game that I could become better at and use some of my competitiveness at the poker table."