0) Ignore the weird spelling. Hundreds of years ago, and perhaps today in Scotland, they really did pronounce that "ght" as some kind of guttural sound. With today's pronunciation, it should be spelled "thawt."
1) Start with the "-aw" vowel sound. That sound doesn't exist in Spanish but it's very common in English, so you should try to master it. Look at
http://soundsofspeech.uiowa.edu/english/english.html
and click on: vowels, monophthongs, back vowels, /ɔ/
Play the samples, look at the videos.
If you have trouble, don't worry too much about it; the Spanish "a" is fairly close. Furthermore, the pronunciation of the vowel in "thought" varies regionally, and in some places is very close to a Spanish "a."
2) I don't know what to say about the "th." You just have to get it. If you can't get it exactly, at least make it different from a plain "t" sound. Try the same website: consonant, manner, fricative, /θ/. I've been working for three years on the Spanish "rr" and I don't have it yet, so you have my sympathy.
3) Practice on emphasizing the "t" at the end. English speakers put more stress on consonants at the ends of word than Spanish speakers do. Exaggerate it while you're learning it.