I had a parent ask me what their kid had to do because they would get nervous in pressure situations. The few lucky ones enjoy the pressure. Some can't handle the pressure and some handle it one time and have problems the next. The last one was me when it came to hitting. There were days that I didn't care who was pitching or what the situation was and days where I was beaten before I reached the plate.
The only answer I had for the parent was actually drawn from my tennis experience. In tennis the hardest thing to do is close out a close match. You almost always feel pressure and typically you tighten up a bit and don't play as well. All you can do is put yourself in those situations as often as possible. When you do two things happen. The first is that you learn how to play fairly well even when you are a bit tight and the second is once you realize that you can play well even when you are tight some of the pressure goes away because you know that you've still got a chance to get the job done even though you are feeling pressure.
Players have to practice being nervous and learn how to play when they are nervous. Pretending that we were up with bases loaded, two outs and a full count in the seventh game of the world series when we were kids was a good thing to do.