It is often said that playing from behind is easier than having the lead going into the last phase of a match. It is correctly assumed that the leader is the one who has most of the stress as he/she feels the extra emotional burden to having to win giving his/her prime position to do so. However, how many times have we witnessed a leader giving up strokes, runs, or goals toward the end of a game? Regardless of what sport you practice, closing a match is very challenging.
One of challenges to learn the good habits to close big matches is that is it quite difficult to replicate in practice what it really feels like in real situation. A golfer can practice all he wants, but it will be practically impossible to perfectly emulate what it feels like to lead in the fourth round of the U.S. Open or for a tennis player to play the last game of the last set of a Wimbledon final.
However, elite athletes do work to mentally push themselves into uncomfortable situations so they practice skills to help them manage those moments. 
In a recent work with a tennis team, we discussed the benefits of pushing themselves harder rather than being somewhat complacent toward one another. Although they worked hard, they will not be going for killer shots or sustained rallies. They were playing as if they did not want to infringe emotional hurt on the other player. As a consequence, neither one of them was pushing the other into a higher level of tennis.
This kind of practice eventually becomes detrimental to both players. Neither one of them is learning to manage higher pressure situations that will eventually come up in higher stake games.
The team addressed the issue of being competitive against one’s own teammate and not affecting their relationship. This issue was important for them to address to help them divide friendship versus competitor.
To give you a better chance to close a game, practice as if you meant it. Put yourselves in playing situations that will push you to execute difficult shots. If you got it right, then repeat it over and over many times. Push yourself to land 5 consecutive tennis serves on the outside corner; if you got it right the first three serves, but missed the fourth one, then start all over again.
Push you to higher levels all the time. Ask your teammate to push you, too. Both will eventually benefit from playing in higher stress levels.