It depends on their first language and whether it has a similar phoneme. Their first language determines the sounds they are likely to substitute for -th. I would try to isolate the problem first to see whether the position of the sound affects the ability to produce it and then move on from there. I would only concentrate on it if the student was determined to get it 100% right.
Tip of tongue on two front teeth, lower lip touching bottom of the tongue, breathe out and release the lower lip and tongue.