Many of my students (in Vietnam) have similar difficulty. Some seem embarrassed to poke their tongue out between their teeth, even though other people say there's no taboo or social impediment to showing one's tongue...
Anyway, when I've used this website in class
http://soundsofspeech.uiowa.edu/english/english.html
I've been amazed at the students' response - they are able to see and figure out the movements of the mouth and tongue much better. These have been teenage and adult students - I'm not sure if a child would figure it out as well.
I also point out the importance of differentiating the sounds by showing that the student is not saying "third" but "turd", and drawing that on the board - but keeping it light and humorous.
However, if the mispronunciation is not a hindrance to comprehensibility, you don't need to push it. After, ze French have been unable to pronounce ze "th" of English forever, and zeir accent is one of ze sexiest in ze world!