Number 57 of the 101 Things Parents Can Do For Children is Learn to say, "No," without anger, and with firmness and conviction. Not everything children want is appropriate.
Sometimes, it's hard to leave, maybe not so much the anger part out of it, but to leave the frustration part out of the word "No."
But I whole-heartedly agree that children do need to be told "No" when they are asking for things that are inappropriate, for things that are inappropriate in that moment (IE no juice/sugar before bed, thank you very much), or when instead of asking, they're whining and/or demanding for things, and are essentially being very rude.
A common utterance in our house is "What does whining (or crying) get you? Nothing."
And the word "Please" better be tacked on to that sentence somewhere (yes, we model this--even when I'm frustrated and super irritated I try to always say "Please", as in, "NO! I said please come brush your teeth, or I will take all of your trains away").
And, it's not, "Whine whine whine." "What's the magic word?" "Please." It's, "Whine whine whine." "What's the magic word?" "Please." "In a whole sentence. And without the whining. Please."
"Could I have some milk, Mommy. Please?"
That may have been a bit whiny, but it will do.