You know the problem: you're playing well, you're battling with stronger players, and every game is close - but you can't quite win. Far too often you lose those close ones and have nothing to show for your great play but another "what if..." - and hopefully, just maybe, a little more experience so you'll do better next time. So how does one close out a match?
First, let me introduce you to what I call "Larry's Six-Month Law," or simply Larry's Law for short. In short, it says that when a player improves or is playing well, he may battle with "stronger" players, but at first he'll lose most of the close ones. Why? Because the other guy has more experience playing at that higher level, both tactically and psychologically, and so has more experience at what to do to win at that level, especially in close games. It doesn't mean you can't beat them, it simply means you need to gain experience at that level so you'll know what to do in those close games.
So what should you do? That largely depends on your playing style. But the most important thing is that during the match you have learned what does and does not work in this match-up between you and your opponent - or more specifically, your style and your opponent's style, and your strengths and weaknesses against your opponent's strengths and weaknesses.
There are generally two ways to score points at the end of a close match. You can do something tricky, such as a deceptive serve or an unexpected spin (such as a suddenly heavy push or loop), and perhaps win an easy point. This works at all levels, but especially at lower and intermediate levels. By the higher levels such tricks are less successful, though they still work if used sparingly, and more often to set up a follow-up shot than as an outright point-winner. Many experienced players develop a few tricks to pull out in close games, most often with a tricky serve.
The other way is to force your game on the opponent with your serve and receive. On your serve you get to choose how to start the rally, and by the end of a close game you should know what serves will set you up for your game. Receive can be trickier since you don't know what the opponent will be serving - and presumably he's serving to set up his game. But a good receive can take control of a point just as well as a good serve. Focus both on what you do well and what your opponent does not.
Keep it simple. Ideally look toward tactics that narrow down your opponent's options so you have a good idea what's coming. For example, if you have a good loop against backspin, and your opponent pushes most of your backspin serves, then serve backspin and loop. If you like fast topspin rallies, then perhaps serve topspin to the opponent's weaker side (or perhaps to his stronger side, so you can follow with a quick shot to the weaker side), and go at it. Or do whatever serves set you up to do what you do best, and have confidence in.
Winning close games at any level is both a tactical and psychological battle. More close games are won and lost on the psychological aspect than on the tactical. You need both, but good tactics do not work if you are too nervous to execute. If you find yourself unable to do in a close game what you could do earlier, then you need to learn to clear your mind before playing each point, and perhaps study sports psychology.
A player who is consistently successful in close games always knows what to do in those key points, from long-term experience at that level, from what happened in that particular match to that point, and because he's psychologically confident in his ability to execute the needed shots. So should you.