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I too prefer close games (most of mine have been close but I play casual only) but unfortunately, as in actual war, sometimes a side will get slaughtered. Trying to mitigate the slaughter shouldn't be your goal - embrace it, accept it, make it part of your narrative.
It really depends on your players though, some people can take devastating defeats in stride, taking it as fluffy or learning from their mistakes. Plus, you can never be sure the 'losing' player will actually lose, for example if a player finds that he's winning handily he'll generally focus on tabling rather than on the objectives, which can be a game-losing flaw.
If you really, really, really want to add something to help a 'losing' player, make it a withdrawal option.
Change the Objective of the game --- his Commander has declared the day lost and is attempting to pull back his forces and save them for another day --- for each unit he manages to escape off his deployment edge, give him a points bonus for the next battle..... so, if he saves 340 points by withdrawing, give him half as bonus for the next mission, so 170. That'll help balance the next mission and give him something to do in the mission he's losing.
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