I find that I have to learn how the phoneme is actually said (where is the tongue, etc.) and then practice it a lot with recording(s) of native speakers (i.e. a recorded TV show) to compare with. Once you can make the right sound, practice it until you can say it easily.

If you have friendly native speakers, you may be able to get them to exaggerate the sound. E.G. the difference between thin and then is that the 'th' in then gets voiced (your throat vibrates) and the vowel is different. 'World' has an extra syllable (wur - ul - d) vs. 'word' (wur - d). I'm less sure about your issues with the others, save that certain sounds probably don't exist in your native language.

And those you just have to study & practice. I know how hard it is, though, having learned such sounds as 'ng', the 'eu' vowel in 'feu' (French - fire), glottal stops (yes, those exists in the English word bookcase, but...), the Japanese 'R'-group sounds (they're not 'R's or 'L's as we know them).