Just anecdata: we did this with our daughter (now 4.5), mostly because playing games about math was fun for all. We thought it would make it more fun for her, and get her more involved, if she won. Now we're reaping the whirlwind; she pouts and refuses to play games when she loses. So now we're having to undo the damage we did, and teach her that playing is important, not winning.
When our son is older (he's just now pushing 2), I'll hopefully know if it WAS the 'let her always win' strategy that backfired on us, or if it's just because she is who she is. Then again, I may not ever know. But my gut tells me that letting her win all the time set an expectation that she's SUPPOSED to win, and that if she doesn't win something went wrong and we, as the parent, have to fix it.