Lose them. Lose at them. Littles are sore losers and don't like coming anything but first. When it comes to a game, let them win. Don't make it too obvious that you're letting them win though, because they get upset and tell you to play normally, where you win and completely destroy them and they get more upset.
If you do play a game with a little, either make it a game that they can win easily or make it a game that has no loser. They'll love you for it.
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What someone can do for a little.
Non-FictionThis story is basically a notebook of things you or someone you know can do for a little. There are lots of things that are in this and it tackles tough things like what to do if a little is dismissive or too tired.