See from 1 to 500, you have 166 numbers which are divided by 3, and 167 numbers which are divided by 3 with the remainder of 1 and 2 correspondingly. Then you strategy is:
If you partner removes a number which is divided by 3 without a remainder, then you do this too (for example, he removes 99, then you removes 111)
If you partner removes a number which is divided by 3 with the remainder of 1 then you remove one with the remainder of 2 and vice versa (for example, he chooses 1 - you chose 13, he chooses 302 - you choose 61)
This strategy guarantees that after each round the sum of all numbers is divisible by 3. Moreover, since there is even number of numbers divided by 3 and equal number of numbers divided by 3 with remainder of 1 and 2, this will work at each step.
You have the dominant strategy! Congratulations)