For the pronunciation of single sounds, you will need to focus on the sounds your students have difficulty with. This will depend on the language of your students. For example, many foreign learners have problems pronouncing "th", but this is not an issue for Arab learners as they have this sound in their own language.
To teach single sounds, you need to demonstrate the pronunciation while the students listen. You can do this yourself or use a cassette. You can also describe to the students how the sound is produced, if this can be done easily. For example, to pronounce "th" you can explain that they need to stick out their tongue slightly. You also need to constrast the individual sound with another similar sound. You could contrast "th" and "f" or "b" and "v" (b and v are a problem for some Spanish speakers). If students can distinguish difficult sounds it's easier for them to produce them.
To help recognition of sounds, you can use an exercise called minimal pairs. Prepare two columns of words that vary on just one sound. Label the columns 1 and 2. For example:
Column 1: sat bat had mat
Column 2: set bet head met
To distinguish between /a/ and /e/
You pronounce one word from each pair and the students say whether it is in column one or two. When you think the students are able to distinguish the sounds, you can ask them to repeat after you.