I have a lot of games now where I get 1 or 2 missed wins. This really sucks knowing I had them but couldn't finish them off. How do I stop missing wins?

Actually thin[k] about your moves

EDIT: "thing" edited to "think".

Wow thanks. I never thought about thinking. Because I don't think. Saved the day buddy.

Anyways these are blitz games, and even looking back at them I can't usually figure out where the win was.

The four factors that I can think of that contribute to missing wins are

1) Overlooking a tactical shot. - Either to convert the win or overlooking a mistake that causes a loss.

2) Time Pressure - A lack of time can play a part in not finding the best moves possible.

3) Endgame technique - You can have a won position but if you don't know how to convert it, that is as good as a missed win.

4) Attacking technique - You can have an overwhelming attack but if you can't get the mate, that is good as a missed win.

Losing won positions comes down to a lack of technique or a mental mistake.

Right now, I'd say to play through higher rated games to have an idea of how to take a winning position and convert the victory.  Also continue to sharpen your tactical ability so that you are able to capitalize on opportunities that your opponent presents to you and to avoid letting your opponent back into the game.

It surely happens at some point. Even I am not spared.

In this game I got overconfident and decided to place one more rook to attack the pinned queen, forgetting the basic knowledge that pinned queens can still move in the pinned direction.

Normally in games of players rated lower than yours, games are decided in the middlegame. The side having, say, two pieces up, should strive to (1) not hang pieces and (2) prevent counterplay by opponent. After that it's just about knowing how to do basic checkmates on the board.

My issue seems to be not knowing how to deliver checkmate. I really only know how to deliver checkmate with the queen and a minor piece/king, king + rook, and two rooks. I think my missed wins are because there are checkmates that I just don't see.

In a lot of the missed win games, I have a ton of pieces aiming at or near the king on the opponents side of the board and I just don't know how to convert that into a win.

That is why you study tactics. 

Chess - 5334 Problems, Combinations, and Games by laszlo polgar

Art of Attack in Chess by Vladimir Vukovic

Silman's Complete Endgame Course : From Beginner to Master

Look for the books that I suggested above.

The first two books will help you get those checkmates when you have that strong attack going.

I'm suggesting the third book for those instances when your games aren't decided by a mating attack.  When you can't get mate, use your attack to get a winning material advantage. 

If you can find an Alexander Alekhine game collection, play over his games.

25. Be4 dxe4 isn't that the blunder which cost you the game? or I am missing something obviously missing the best move happens even for GM, but seriously did you gain anything, by sacrificing that bishop? and the last bit was quite unfortunate since you still had a good attack going.

He pinned the queen and the bishop can now be protected by rook. So he wins queen for two pieces. 

One thing that I thought of is that when you have positions that are winning or where you have a very good attack, it is important to limit your opponents counterplay.  I posted this game that I played OTB years ago to hopefully illustrate that point.  Looking at this game through an engine, I do realize that I could have landed the knockout blow earlier.  I was white in this game and if you want me to annotate this game, I will do so.

Godayum you shrekd him lmao. Annotated would be wonderful. It would be interesting to see why you chose each move. I think e5 + h4 then driving his queen away were absolutely winning. he should have never allowed it.

Okay.  I will do so later.  I can tell you that after a quick glance at the game with an engine, that Black was in major trouble when I sacrificed my knight for two pawns.  I didn't know at the time how many problems that sac would cause or why I played it the moment that I did.  All I remember is at the time, I figured that I could keep the king in the center, I've got the strong center that I could mobilize and plenty of weak squares that I can take advantage of.  During the game, I tried to build up my attack, limit my opponents counterplay, and steamroll through his position.

In that game I needed to open up lines and bring my rook to f7. I had some advantage there, but I was unsure of how to exploit the badly placed Black bishops. Well, the 25. Be4 was just to tempt my opponent to capture it. Notice that Black has to move the knight to activate the bishops again, but this leaves the d5 pawn hanging. Hence, I chose 25. Be4.

25...dxe4?? 26. Bf6 is a game ender (25...Bxe6! minimises damage). Black has very inactive pieces, and the queen I would have after the forced exchanges are superior to Black's pieces. Not forgetting that White keeps the e6 passed pawn. So White wins easily (+8.58).

I got too overconfident at the last part.

My issue seems to be not knowing how to deliver checkmate. I really only know how to deliver checkmate with the queen and a minor piece/king, king + rook, and two rooks. I think my missed wins are because there are checkmates that I just don't see. In a lot of the missed win games, I have a ton of pieces aiming at or near the king on the opponents side of the board and I just don't know how to convert that into a win.

Well that's a start. I mean, you do know how to perform basic checkmates in the endgame. But of course, checkmates can get more difficult to see when there are more pieces on the board. Take the following for an example.

Well, the above is straightforward. Technically this is what runs through your mind. White has a queen attacking the g7 pawn. White also has a bishop targeting the same pawn. Queen takes g7. If king takes, bishop recaptures king. So the king cannot capture g7 safely. And the king cannot escape. Therefore, 1. Qg7 is checkmate.

Now here is what happens with many other pieces on the board.

Well, there are so many pieces on the board, so this makes it more difficult to spot the checkmate. But the checkmate is still there. The same thought runs through the mind. White has a queen attacking the g7 pawn. White also has a bishop targeting the same pawn. Queen takes g7. If king takes, bishop recaptures king. So the king cannot capture g7 safely. And the king cannot escape. Therefore, 1. Qg7 is checkmate.

Though it is indeed more difficult to find checkmates or at least material gains in the middlegame, being able to do so is really a rewarding process. Take some time, think through your positions and gain experience along the way. The fact that you spotted missed wins shows that you are learning!

Now that I ran that game through the computer, I realised that Black's blunder 25...Bxe4 was more severe than I imagined. The person playing as Black was one of my local chess friends who then told me after the game that he simply forgot about the 26. Bf6 pin.

That sacrifice was definitely worth considering even if it did not lead to an immediate win. Adventurous players like me do sacrifice materials randomly for two connected pawns.

Was he in time trouble? Kind of hard to imagine such a high rated player missing it. 

@kthprog

In this game I nearly missed the win of a piece, and it took me many more turns to capture the piece. You can see that the final position is a win for Black, but notice how White attempted to prevent this knight loss valiantly until the end. Some wins are really not obvious, and it does take experience to realise that a given position is a win for one side.

That game was a 10|5 blitz game and my opponent had ample of time left at this turn (6:55 on his clock versus 8:06 on mine; I was still more or less blitzing all my moves at that time).

That game brought his rating to a peak high, and it was more than a year ago. Now both our ratings have dropped considerably since.