There are many things you can do to lighten the pain of loosing, as already mentioned, and they should be considered; I particularly like the 'looser clean up' rule. I'll go into some other things that can be done to lessen the depression of losing later, but first let's address the biggest two obvious details.
The truth is the best way to teach a kid to loose graciously is for them to loose, and be forced to be gracious about it. Like many things they simply have to be taught through their, and your, actions. As he looses at games, and sees it's not the end of the world, he will learn that the lose wasn't that important to his life. Eventually he will grow a sense of perspective where he realizes rather he wins or looses a game is not that important a factor in his life and just not worth getting as emotionally invested in. As such one of the biggest things you can do is simply give him oppertunities to lose at low cost and learn that it's okay.
Part of making loosing okay is teaching that your family does not tolerate bad sportmanship, from anyone. If he calls someone liars or rages against people when he loses this is not acceptable and that should be made clear. Anything this extreme likely will require a timeout or other discplinary actions, because he isn't behaving in an acceptable manner and that is not allowed no matter how he feels. This is important to curb the bad sportsmanship itself, but it's also important for teaching him that loosing is okay, as odd as that may seem. Studies have shown that going into rage or sulking about something that upset you only encourages one to keep brooding on the activity and makes them feel worse. If he is allowed to rage when he loses all that raging will make him more upset and encourage further raging later, it's a sort of downward spiral. It's a downward spiral, and as such best to curb as soon as possible before it gets worse, once he stops raging he can then focus on learning bettter methods for coping with a lose.
Of course if he get's discplined it needs to be made clear that it's due to the bad attitude, and not the lose itself.
As to ways to lessen the blow, I actually second cooperative games. he is young, but I have played pandemic with my niece at that age and she could manage the game (though she is both smart and has both a higher interest in, and experience with, more complex board games then most 9 year olds so she may not be a good baseline). Forbiden island (and related games) are a much easier coop game that I think the average 9 year old can manage and enjoy so it could be a good option.
Another option is to stick to short games, especially games played multuple times. If the game is short he wont be as emotionally invested in it by th end, so a lose won't feel as hard. If you play many in a sitting he also will be focused on the future rounds instead of the current ones so loosing one round doesn't feel as bad. Playing games with 'best 2 out of 3' mechanics for instance lowers the pain of the first lose as an example. Playing a card game where multuple hands are played likewise can show that loosing a hand is not the end of the world. But best case is lots of quick games without a set condition to stop, your going to keep doing fast rounds until you get bored and no round really matters much so no one needs to worry about them. Fluxx comes to mind as a game that tends to be fast and allow many rounds to be played in a row, it's a favorite of my mother and I, but there are countless microgames you could pick.
Silly games, where the focus is enjoying the act of playing and winner doesn't matter much, are also a good example of games where he doesn't have to feel as bad about loosing. Many Party games can fit into this catagory, though which games your family approaches with the right degree of 'silly' depends on your family. For examples I have seen people play Apples to Apples both completley seriously and in a hilariously over the top manner, so it could be a great, or bad, game depending on how your family approaches it (though addmittedly the ones that play games for humor often seem to end up more PG-13 in nature). Taboo is another game that can be quite fun to play by itself regardless of who wins. Story creation games, like 'Once Upon a Time' or 'Roys Story Cubes' are also games that can be fun for families and where who actually wins doesn't usually matter; plus they encourage creativity which is a plus in itself.
I'll stop recommending specific games here, but there is a whole stack exchange site for gaming where you can get suggestions for 9 year old appropriate games that fit any of the above catagories I listed if you don't like the specific ones I mentioned.
Another option is to help to give him something to be proud of even in lose. Give him compliments when he does something well, show him when he made an intellegent play, and generally allow him to walk away feeling good about part of his game even if he didn't win. However, Do not give false compliments. A generic "you did good" every time he looses doesn't mean anything, it's an empty platitude and he will know it. Look for oppertunities to give legitimant earned praise and when that happens offer it freely, but make sure he can see the praise is earned so he actually has reason to feel good about it. Focusing on the positive even in a lose is always important!
And of course demonstrating good sportsmanship is important as well. Show him that you and the rest of your family can be graceful in losses and compliment him on a game well played. Praise him when he is a gracious looser and tell him that your proud of him for being mature. Demonstrate the sort of behaviours you want him to emulate, and punish anyone who shows particularly bad behaviors, and he will learn the right way to behave. In the end all the other suggestions to make loosing easier are nice things to do, but simply demonstrating the right and wrong way he is suppose to act on a lose and holding him to those expectations is by far the most important part of molding his behavior. Everything else recommended is just to make the lesson a little less harsh to learn; a spoon full of sugar to make the medicine go down if I remember my Mary Poppins correctly ;)
