Losing is hard though, isn't it? (Ds1 beat me at junior scrabble the other day, and I wasn't "letting him", and I was really cross about it for days afterwards!)
I think talking and talking and talking about it does help, as well as playing lots of games where there are winners and losers. Quite often these days they don't have opportunities to 'lose' until they are 6 or 7, as until then everything is non-competitive; so when they do come across it there's a very steep learning curve.
Think it's an age thing to be honest. They were all the same at a Bowling party we went to recently. Looking at the scores like a hawk, I'm 1st, I'm 2nd, you're losing ...... nightmare!!!!
Had to explain it's not the winning but taking part that counts (corny or what!)
Same with my ds (7 on Saturday) it's such a hard lesson to learn though isn't it.
Don't get me started on the reading book levels. Ds's class are obsessed with whose on what. Thankfully ds is on the highest but they all know whose on what and whose on the top table etc.