I split the difference by giving them a material advantage. The real world is full of those so your parents can approve. When the kid with their 16 pieces can beat me with 4, next game I get 5. They know the game is rigged in their favor so their is no BS ego inflation, but they sometimes get a little taste of victory. If they get cocky I'll say "oh, so I get two more next game?" or something along those lines to further keep that in check. This is also pretty good for me since it forces me to think harder, run faster/further, sword fight multiple tiny people at once, etc...