Have a plan for when it's hard: Far too often coaches fall into the trap of trying to teach how to deal with hard things AFTER adversity. People are far more receptive to guidance when they are calm and right after struggling with something is not a particularly calm time for any of us. We have all been in that place where someone means well and tries to talk to us when we are really upset and we snap at them and shut them out. By giving advice beforehand, students are far more receptive and will start to build up that positive response as a habit.
Give them adversity in measured doses: A plan to expose a student to difficult things is key. Having a plan to grow is one of the big challenges for us all, and generally, this means having a mentor who can guide us along the way. That mentor should help us figure out what is going to challenge us without overwhelming us. Haphazard happens to us all eventually, but it's not the best way to learn.
Reward the process: Recognizing effort & process is harder than recognizing results. But if you want to teach persistence you should value the process that eventually leads to those results. Very often there is a lag between when hard work kicks in and the results of that hard work. This is particularly true for kids who almost always work on very short time frames. Pointing out how you are proud of the hard work they put in, and letting them know it will pay off if they keep at it goes a long way.