Before Leonardo DiCaprio took off for the Golden Globes in LA, he filmed his last scenes for the Martin Scorsese drama “The Wolf of Wall Street” at legendary uptown restaurant Rao’s. The duo filmed with investigator and Fox News contributor Bo Dietl, who knew former stock trader Jordan Belfort, on whom the movie is based. A source tells us, “Dietl has a regular table at Rao’s, so they let Marty film there. In the scene, Belfort asks Dietl for advice on how to deal with FBI agents who were investigating him, but doesn’t get the answers he wanted.” We’re told the crew had to wait for Rao’s regulars to leave before filming, so it didn’t start until around 2 a.m. Friday morning and ended at 6 a.m. “Filming had to be put off for a few days because Leo had been sick,” a source told us. “But when they finished the last take, he told Marty, ‘This is one of the best experiences I have ever had filming a movie.’ ” Scorsese then hosted an ’80s-themed wrap party Saturday night at the newly renovated Marquee nightclub in Chelsea, which reopens to the public tomorrow.