This sound is very important to produce correctly.
Place the tip of your tongue against your upper teeth, and slightly in front of your upper teeth.
By all means, avoid making the "th" sound a "d" or a "t".
Some of the words with "th" will be "vocalized," meaning that your vocal cords will vibrate as you say them ("there"). Some of the words with "th" will not be vocalized, as in the word, "bath."