I would say the first thing you would need to know is why they want to give up. From there you can find the right course of action to help them continue on their journey toward success. Each person is unique in their understanding of what SFI is all about and may be missing some vital information.
Ask the question, "Why?" and listen closely to the answer. As their sponsor, you have been in the program longer and will be able to help them through this rough spot.