Learning from a native speaker is obviously the best way, but unfortunately there are no native speakers of classical Arabic.
Believe it or not, the best sources of instruction here are the ancient ones, al-Farahidi and Sibawayhi.
First, all four are double stops. Both the back and the front of the tongue constrict the air flow. Saud, tta, and zha air fairly easy. Daud is a whole 'nother story - there's a reason they called it the language of Daud, it's a little unusual. When you make a Daud, you drive air on the sides of your tongue, while making a double stop.
So the trick is to drive air on both sides of the tongue. To see (feel) what this means, play around with English /l/. It ain't easy but try to make the air flow on the left side, then the right side, then both sides of your tongue. Once you can do that, you can do Daud- and I promise the locals will be awed (pun intended).