Just ask Greg Norman, who was something of an expert in the art. But whether you knock your ball into a burn at Carnoustie or miss a two-foot putt at Augusta, there is one thing of which you can be sure. The chin-strokers in the press tent will all pen earnest commentaries to the effect that the experience will leave you a broken man.
Trouble is, it very rarely does. Sam Snead famously triple-bogeyed the last at the 1939 US Open at Philadelphia Country Club, handing victory to Byron Nelson, but recovered enough to win seven majors over the next 15 years. Tom Watson led going into the final round of the 1974 US Open and then shot a 79, but he was the dominant player of the next decade, his eight major titles including five Open Championships.
Rory McIlroy held a four-shot lead after 54 holes of the 2011 Masters, shot a harrowing 80 for a tie for 15th, but then blitzed the same year's US Open, his next major outing, to win by eight strokes.
And now Adam Scott has added to the catalogue of great recovery shots. If ever a player looked ready for a lengthy stay in a sanatorium, it was Scott on the evening of July 22 2012, when in the full glare of the world's media he blundered and bogeyed his way out of a four-shot lead at the Open at Lytham St Annes and handed victory to Ernie Els. The South African, to his credit, looked almost as shocked as Scott.
It is hard not get all Nietzschean on these occasions, for it was the German philosopher who came up with the line "That which does not kill us makes us stronger."
As it happens, Nietzsche was not noticeably strengthened by the mental breakdown he suffered in 1889 (possibly the result of syphilis) as he died a few months later, but we can leave that little irony to one side. The fact is that Scott really was strengthened by his implosion.
That much became clear at the following year's Masters, when he nervelessly saw off Angel Cabrera to take the green jacket, his first major. And it has become clearer since as he has posted a succession of strong finishes, a host of top 10s and a handful of wins.
When he took victory at the Crowne Plaza Invitational in Texas two months ago he also clinched the No.1 slot in golf's world rankings. If this is what being a broken man is all about then maybe the rest of us should give it a go.
Scott has a winning smile as well, and he did nothing to disguise it as he reflected on the experience of rising to the top of golf's pile. "I've enjoyed the last couple of months immensely," he beamed. "It's been such a process to get to this childhood dream, and achieve it, that I've tried hard to keep myself there for a little bit. And I'll be trying hard again this week to win some more points to stay up there."
Of course, given what happened at Lytham two years ago, Scott might have been forgiven for excusing himself from a return to the links of north-west England, but he has a good feeling this week.
"I think I've got it," was his upbeat answer when asked if he had he appropriate skill set to get the Claret Jug out of Hoylake and on to the mantlepiece of his home in the Swiss mountains. "I think Lytham proved to me that I've got what it takes to win. It was obviously not the finish [I wanted] there, but it gave me a lot of confidence, not just about playing well in the majors, but also that I have the game to win an Open Championship."
Scott had a shot at redemption last year, and gave it a pretty good lash. Had Phil Mickelson not taken a quick lesson from the golfing gods and played so sublimely on the last day, then Scott would have been well in contention. As it was, he finished in a tie for third, four shots back from Mickelson and just one behind runner-up Henrik Stenson.
The sun was shining brightly at Hoylake yesterday, and Scott is determined to make hay. "I'm playing some of my best golf at the moment," he said. "I've got to try and take advantage of that and win all the events that I'd really like to win - and this is certainly one of them. I've give myself a couple of opportunities and I haven't done it. Maybe at the third time you really have to do it or it won't come round again."
Norman was the last Australian to win the Open, taking the second of his two titles at Royal St George's in 1993. The White Shark was also Scott's idol, so it was a poignant moment when the younger man took the Masters title that had been so frustratingly elusive for his countryman.
Scott said: "You want to emulate what your childhood hero has done. Greg winning the Open has always sat very high for me. Watching Ian Baker-Finch win in the way he did was spectacular as well.
"The Open has a huge amount of meaning to me, and I'd absolutely love to get my name on the trophy with Greg and the other Aussies."