The best practice would be to thoroughly analyze the *game* and also your *thought process* before, during and after the game. Besides, if after sincere hard efforts you still lose, it's important to have an attitude like this - 

> “I haven't failed, I've found 10,000 ways that don't work” - Thomas
> Edison

In chess, that would mean - 

    

> I haven't failed, I have discovered that this
> strategy/opening/tactic/etc. doesn't work.

In my personal experience, you often learn more from the games you lose than from the games you win. So use that to your advantage. Analyze the game thoroughly (of course with the help of an engine) and see where you went wrong. Also, identify faulty patterns of thinking during the game. For example - 

> "this position was objectively equal, but during the game I thought I
> was worse and so I got *demotivated* and played badly".

[Gary Kasparov][1] suggested the following after winning (but I suppose it applies all the more after losing) - 

> "Even the game we won always contained mistakes; inaccuracies. It's
> inevitable. I can hardly find one brilliant game with no mistakes."
> 
> 
> 
> "If we won, it is most likely because our opponent made the *last*
> mistake. But, he made the last mistake and he is definitely analyzing
> the game; he'll find what we did wrong in the previous stage of the
> game. So what is important is to find it first."

I found some other interesting quotes on [this][2] page. Some of the more interesting quotes are - 

> Losing can persuade you to change what doesn't need to be changed, and
> winning can convince you everything is fine even if you are on the
> brink of disaster.  -  Garry Kasparov


> Don't be afraid of losing, be afraid of playing a game and not
> learning something. - Dan Heisman
> 
> I prefer to lose a really good game than to win a bad one.  -  David
> Levy
> 
> Setbacks and losses are both inevitable and essential if you're going
> to improve and become a good, even great, competitor. The art is in
> avoiding catastrophic losses in the key battles.  -  Garry Kasparov
> 
> You may learn much more from a game you lose than from a game you win.
> You will have to lose hundreds of games before becoming a good player.
> -  Jose Capablanca
> 
> Most players ... do not like losing, and consider defeat as something
> shameful. This is a wrong attitude. Those who wish to perfect
> themselves must regard their losses as lessons and learn from them
> what sorts of things to avoid in the future.  -  Jose Capablanca

  [1]: http://www.youtube.com/watch?v=B2KKfOGaR_w
  [2]: http://www.chessquotes.com/topic-losing