Think no further than one shot at a time. At 5-0 or 5-1, it is easy to think, ah, its over, 6-0, 6-1, I'm done, what am I gonna eat or drink later tonight? Oh shit it's 5-5!!!!!!!
Never be satisfied. If it's 15-0, make it 30-0. If it's 30-0, don't let up, make it 40-0. If it's 40-0, pedal to the metal, hold to love.
Get that first serve into play and step on the throat of the opponent, like a lion in the savanna.
This is all easier said than done really.
The only true advice is to play more and more matches
you can tell yourself, take your time mentally, play one point at a time, etc, but really the mental game is very different for everyone, and when you find yourself at the end of a set or having an important point in front of you, your brain does some nasty things and tends to forget those sayings. Someone like Rafa certainly seems to play one point at a time, while others may try to even play harder or hit the ball bigger when pressure moments come. You have to find your niche and the only way you can ever get more used to closing out sets or winning important points is to play more and more matches. Probably not the answer you hear, but I think it is most logical. If you ask the top players in your region how they spend much of their practice, I can guarantee that they spend a large portion of their time on court practicing matches.
By the way, I actually recommend practicing tiebreaks A LOT, especially against players who win a lot of free points off serve or if you struggle with the returns. Tiebreaks, we all know, are very tough mentally so it will help you understand your mental strength more and most importantly, it instills the value of a SINGLE POINT in tennis, because all you need is one mini break and the tiebreak is all yours if you win every point off your serve. I find that too few players practice tiebreaks, and it ends up costing them because many times they will play them too passively hoping the other player will fall mentally. But if you notice, the better players around the world are normally those that excel in tiebreaks. This is arguably because tiebreaks reward those who properly take their chances rather than trying to draw errors. In the end, such practice and mental strength gained from tiebreaks could easily translate to your ability to close out sets.