Linguistic tones are difficult for even Chinese ourselves. Mandarin has only 4 tones( the least of Chinese dialects, except the alleged one or two), so Chinese people, generally speaking, do not feel it very difficult to learn its tones. Some Chinese dialects have seven or eight or even more tones. When the northerners, who speak dialects with less tones, learn the tone-rich dialects, they feel it a testing and toilsome job too. Some languages even have more than 10 tones, and it'd be a chilling task to learn them even for the southern Chinese.
There are lots of teaching material intended for Chinese people to learn Putonghua (Mandarin), containing many training resourses, as including the tones. I think it is effective as well for people learning Chinese as a foreign language.
You may pronounce monosyllables first. When proficient, then dissyllables, then short sentences and long sentences at last.
If you like singing, it will help pretty much. Try comparing the tones of Chinese to the tones/pitch of music and you'll get some concept of how to pronounce in tones.
Just as the pal said above: you need practice and practice and practice.