Just to be clear...are you trying to correct their pronunciation when they speak English or when they speak Chinese?
Many of my students (at universities in Guangdong) and my memorable Chinese girlfriend were from Hunan. They do substitute "f" for "h" -- "Funan" for "Hunan", "xifan" for "xihuan" -- but I took that to be a function of the regional accent. (When I tried to speak a few words of Mandarin, my students told me I was speaking with a Hunan accent!
) I didn't notice the confusion of l/n all that much.
I liked the suggestion of having them learn the difference by saying/singing lalalala and nananana (or was it nuhnuhnuhnuhnuh) the way an opera singer might when vocalizing. I can suggest two songs for practice:-
"Falalalala, lalalala" - from the Xmas carol "Deck the Halls"
"Nana, nananana, hey hey, goodbye" - Cream (?)
Even if they can't learn the difference, your students will be hugely amused by your renditions.
I was very much a stickler for good pronunciation and enunciation. Let me share something that worked for me and that my students had great fun with. Try printing out some eight-line excerpts from almost any of the Gilbert & Sullivan "patter songs". Get your students to read it as poetry, not too fast, taking time to pronounce each word correctly. You must explain that the lyrics are nonsense, and that they shouldn't even try to understand, but should concentrate on making the correct sounds come out of their mouths.
We had a great time with "I am the very model of a modern major-general", "I am the monarch of the sea" and "My eyes are fully open to my awful situation".
To Raoul...once you get the l/n confusion sorted out, you can tackle s/sh/x.