There is no such thing as gambling licenses in Costa Rica.
If you want a cheap and easy gambling license, go for Curaçao. I think it costs $1,000 a month. The people over at Curaçao Egaming can help you set everything up, though I'd recommend a lawyer as well.
For more a reputable license, consider UK or Malta. Lots of law firms there that specialize in this. Malta has some very attractive tax refunds as well, making it possible to get your effective tax rate down to around 4%.