There are a number of reasons, I think, why I find myself doing things the hard way, even when I know there's a better method. 'Hard' doesn't necessarily mean more difficult, but maybe inefficient, or longer, or unnecessarily complex. Some of these reasons are actually justified, others not so much.
Sometimes the steps required to do something become part of the experience; making tea or playing a record on your turntable instead of on your iPhone. The steps add to the satisfaction, make the event more of a personal experience than just doing. This can make a simple task personally therapeutic or cathartic — often allowing a simple task to remedy the stresses of the day.
Some tasks simply deserve to be done a certain way. Sometimes this process is due to a need for thoroughness and sometimes it is tied into the point above about rituals (which can have varied historical or sentimental origins). There is a satisfaction in knowing that you did a job 'properly' even if you could have been more efficient. It can make the end result seem significantly more personal; you gave of your time more generously.
Sometimes you just don't want to learn a new way. Perhaps it doesn't seem significantly better; perhaps you have some emotional attachment to the way you do things. Sometimes it's just about familiarity and comfort. New things can be intimidating, especially when they might be disruptive in the short term. Sometimes we just want to feel that the way we know is the better or correct way, regardless of any evidence to the contrary. Stubbornness is not necessarily negative; sometimes you should absolutely stand your ground.
Sometimes the new way is going to simply be hard to achieve — a big up front cost for an ever-after of easy times. The easy way right now isn't necessarily the same thing as the easy way sometime later and that's a conflict that is difficult to resolve, especially if you're under pressure all the time. Difficulty can feed stubbornness.