It is pretty sad how Missouri Democrats went from a rather competent red state party to becoming a disaster. They used to have a desire to win and kept winning locally at least.
The state has changed. I doubt there is much the Missouri Democratic Party can do. At least no more than Republicans can in Romney-Clinton districts that they got washed out in.
Actually, I think the party could have encouraged its candidates to tie themselves more closely to progressive issues which have broad bipartisan appeal, which would probably have yielded better results. Remember that a minimum wage increase ballot initiative (which conventional wisdom suggests would not have passed in a red state like this one) passed this year 62-38 even as McCaskill lost 51-45 - so I think if McCaskill had tied herself more closely to the minimum wage initiative without alienating the Democratic base, she could have either won outright or made the final margin a nail-biter for her opponent.