NEVER let them win.
All my kids played chess, including on the school chess team and my kids would always play me. One day my oldest (10 at the time) asked me, “Dad, when will I ever win a game?” I replied “When you stop making stupid mistakes and learn how to play the game you will”. We would then talk about his strategy and how to focus on being 2–3 moves ahead and he began to really learn how to play chess not just enjoy playing the game for the sake of playing.
Then one day—he was likely 12—and after over 100 games of losing in those 2 years, he finally beat me. He was so excited. We have a few games before that one where I was able to play to a draw, but this time he really beat me. He later asked “Dad, did you let me win?” I said “No son, letting you win would not teach you anything and it would deprive you of the joy of knowing what actual winning feels like. You worked hard for 2 years and played over 100 losing games of chess before you beat me. But you beat me. Life is like that too. Life is not about how many times you get beat, but about how many times you get beat and keep coming back again and again until you win. Congratulations.”
It was one of our last games, since after he beat me he didn’t feel the need to play as much any more, but it was a valuable lesson for him in life. Today at age 17, he has a straight A average and runs the 4x400 relay faster than anyone on his team… all because he learned what real winning was actually like at age 12. So, no… you never let them win.