I've heard many foreigners say "Fu" when they try saying "Sju", If you say with a "F" it sounds wrong.
When you say "Sju" you say this "Ch"-sound in the back of your throath, your lips doesn't need to touch at all. If you say "Fu" with the "F" sound you can kind of feel in the fronth of your mouth, in your lips. If you say "Sju" on the other hand you should feel the "Ch" sound in the back of your throath.
I hope that explains a bit, I don't know how to explain it in a more professional way