First, what you absolutely must know about close plays is that the runner will win if he/she's already sliding in when the ball hits the fielder's glove. You have to time your throws in rundowns to account for that. Also, it seems like it's easier to outpace baserunners as a fielder in a rundown than in other games, so as long as you make safe (early enough) throws, you should be able to get the tag out.
With that said....throwing out stealing runners is definitely hard, and I haven't gotten consistently good with it. I can get full power throws consistently enough, but not overthrowing it is very tricky. Sometimes I'll overpower the meter, get a hard throw in the dirt but still get the out though.
Also, varying your release timing can help against people who early steal online. Just sit in the stretch for a few seconds and sometimes they'll flinch and send the runner, at which point you can step off the mound and put them in a rundown.