Yup - agree with JennyBee....
The trainers at our dog club now suggest letting the dog win most of the time, as it makes it more fun for the dog!!!
Tug does need to be controlled (We can get Honey to stop and wait for a command to continue playing), but it should be fun - losing all the time is no fun at all!!!
We tend to play a tug/retrieve type game as well - we'll play tug for a bit, then I ask her to "Give", I throw it, she brings it back, and we start up tug again!
Honey is a nightmare for not giving up tennis balls though... and it is definately better not to force the issue. She will now hand them over as long as she feels she's in a safe environment, but won't if there is another dog around. I always have 2 balls (for agility lesson I have 3-4) and once she has one ball, all my interest is on the ball I have... if she's not interested in it, I make it more interesting (throwing it up and catching, bouncing it) - eventually she decides that the one I've got it where it's at and abandons the one she has!!!