These are made at different places in the mouth. Find the right place and the difference takes care of itself.
زZay
The tongue tip and lower teeth
The tip sits just behind the lower front teeth and the air is forced through a narrow channel, producing a whistle. Ṣād, sīn and zāy share this whistle.
ذDhal
The tongue tip between the teeth
The tip pushes out between the teeth, touching the edges of the upper front teeth, and the air passes over it. Ẓāʾ, dhāl and thāʾ are made here.
Two words, one letter apart
Everything else in these words is identical. If you can hear which is which, you have the letter.
زَلَّ
zalla
he slipped
ذَلَّ
dhalla
he was humbled