We demonstrate that in knowledge distillation for diffusion models, the teacher network's highly complex denoising process - stemming from its substantially larger capacity - poses a significant challenge for the student model to faithfully mimic. To address this problem, we propose a coarse-to-fine distillation framework with LInear FiTtingbased distillation (LIFT) and Piecewise Local Adaptive Coefficient Estimation (PLACE). First, LIFT decomposes the objective into a "coarse" alignment and a "fine" refinement. The student is then trained on coarse alignment before proceeding to hard refinement. Second, PLACE extends LIFT to address spatially non-uniform errors by partitioning outputs into error-based groups, providing locally adaptive guidance. Our experiments show that LIFT and PLACE is effective across diffusion spaces (image/latent), backbones (U-Net/DiT), tasks (unconditional/conditional), datasets, and even extends to flow-based models such as MMDiT (SD3). Furthermore, under extreme compression with a 1.3M-parameter student (only 1.6% of the teacher), conventional KD fails to provide sufficient guidance for stable training, with FID scores often degrading to 50-200+, but our method remains stably convergent and achieves an FID of 15.73.