If you have learned about demonstrative adjectives, or taught demonstrative adjectives, then you or your students are ready for the next step.
Once again, you'll need some objects to help you, as props, placed at different distances, in groupings of like or different objects, colors and so forth. If you've used my lesson plan for teaching demonstrative adjectives then you're already familiar with how the arrangement works and can be adapted, depending on the other linguistic skills your class has.
For the sake of brevity, let us imagine only three props: three identical shirts but of three different colors, placed on three tables or other surfaces. Two should be rather near to each other within reasonable reach for you to demonstrate how demonstrative pronouns work. The third shirt should be placed a few paces away. Let's assume that the blue shirt is next to you, on a table, the red one is a couple of feet away from the blue one and the yellow one is across the room.
Begin with a quick review of the demonstrative adjectives, doing a warm up exercise by pointing to objects around the room, on desks, students' property or clothing and make statements and ask questions, such as:
¿Te gusta ese suéter? [speaking to one student of someone else's sweater]
¿Dónde compraste esta mochila? [speaking directly to the owner of the backpack]
Write the forms of the demonstrative adjectives on the board -- with a caption above: Demonstrative Adjectives.
Next, in English, start asking similar questions, but this time, you'll introduce the use of the English structure that answers to the Spanish use of demonstrative pronouns. Tell them they are going to learn what else they can do with demonstrative adjectives. Start with a statement, using demontrative adjectives to establish what the noun is, then follow up with a question in which the adjective that identifies another object of its class is used alone. This is known as substantivization - making an adjective a noun or pronoun:
That packpack is big. Is this a bigger or smaller one?
This green book pretty. What do you think of that blue one?
Write one of these statement/question combinations on the board and ask them to identify the demonstrative adjective in the statement. Then point out that the word this or that, as in the follow-up questions above, are not followed by a noun, but rather either are alone or point to an adjective.
Tell them that in Spanish, almost the same thing happens -- only it's simpler, because there is no need to add a word like one to make this happen. Tell them that the demonstrative adjective is used in such a way that they can imagine that it has swallowed up the noun. In the process, by replacing a noun, the adjective has become a.... pronoun.
At this point, erase the word Adjectives in the caption on the board, replace it with Pronouns. Then place the accent marks over the correct vowels and tell them that demontrative pronouns sound exactly like the demonstrative adjectives, but that when writing them, the accents must be used.
Model a few sentences, ideally, the same ones you used in English and then you can do drills in Spanish using objects in the room to make statements and ask questions.