The first thing you need to remember when dealing with a small child is to get down to his or her level. If they are seated then you should be seated also. This will make them feel less intimidated and on a more even keel. Remember children with speech difficulties will often be shy and even embarrassed about their problem.
The next thing you must do is be patient. Very patient! You may have to repeat the next step over and over but your patience will be rewarded. The child needs to know that they can take their time without making you angry or impatient with them.
I have noticed that the TH, R and the L sounds seem to be the ones most often giving children difficulty. To make the TH sound have the child look at your mouth and literally stick your tongue out between you teeth. Make your tongue feel fat and repeat the TH sound over and over. Encourage the child to do the same. So what if it looks ridiculous. Eventually the child will get it and have a couple of laughs too. To make the R sound literally roar like a lion and turn it into the R sound. This will tickle the child and it really works. Give it a try. To make the L sound have the child try to touch his or her tongue to their nose and say a word beginning with the letter L at the same time. It forces the tongue and throat to make the L sound. When they have learned the sounds they will no longer need the exaggerated movements to make them.