What worked with my dd was a game we play evey night at bath time. Obviously my dd is five and I still bathe her and towel dry so it works for us. But what I do is that while I dry her legs she always tries to squeeze the towel in between her legs and I try and pull. I pull real hard and the towel doesn't budge. I usually say something like, "Wow you are really squeezing those legs together, I can see all your legs muscle...I bet coach would really love to see that!!!" She ususally smiles all proud of herself. And little by little it has reinforced keeping her legs tight and squeezed together. I also make it a point to show her her leg muscles so she can "see" the difference as well as feel the difference.
Either way I think it'll all come in time....as they feel more comftable with the skills. Good luck to your dd.