I think you could usefully approach this question as if you were a video game designer trying to make a fun and engaging game.  You want the player (in this case, your kids) to win often enough (and not too often) to keep them engaged and interested.  Mihaly Csikszentmihalyi's concept of [Flow][1] is usually cited here.  

As Jeremy Miller's nice answer noted, *teaching strategy* is a better way to help the kids win.  He's covered it well so I'll just upvote and refer to his answer.

Folks often give up on a goal if they think it'll be impossible for them to reach, or if it seems sufficiently unlikely without a corresponding potentially large reward.  Therefore, if you bias the (kid's) win percentage to be lower (as strategy develops), pair wins with a good degree of praise and make the experience rewarding.  Then you're teaching a lesson (that might not be obvious for a while) about a good way to behave when your opponent has just beaten you in some accomplishment.  A more important lesson from this might apply to how hard work, good strategy, doing the right thing, etc. doesn't produce a reward every time, and it's often not an immediate reward even when it does, but if you keep at it, it can eventually produce a very rewarding experience.  Then, later in life, your kid might be less likely to give up in the face of difficult challenges when they don't seem to be winning.  (Warning: they may be more stubborn as teens, if your rules are the perceived challenge.) 


  [1]: http://www.amazon.com/Flow-Psychology-Experience-Perennial-Classics/dp/0061339202