In my experience, it is initially difficult to get students to see the validity of using thought experiments in philosophy. For example, in my ethics courses we discuss the argument from analogy Peter Singer uses to help make the case that we are obligated to donate to famine relief, comparing the costs and benefits of saving a drowning child with those of saving the starving child. Usually some student will try to change the parameters of the experiment. For example, after saving the child a student stated that he would simply ask the child's parents to reimburse him for the cost of his clothes that were ruined by going into the shallow pond to save the child.
One thing I now do to motivate thought experiments and get students to "follow the rules" is compare them to the type of experiments a physicist or chemist might do in the lab. A scientist sets up certain conditions in order to explore reality, test a hypothesis, and so on. In order to get the right data and draw sound conclusions, she will set certain boundaries and engage in particular procedures. Similarly, when we engage in thought experiments we limit options available to agents in the experiment and set up certain rules in order to clarify a concept or test a philosophical theory, even if in so doing we are not talking about something that is likely to happen in "real life".
I'm curious if others have found additional ways to deal with problems in using thought experiments in the philosophy classroom. If you have some helpful tips, please share them in the comments.
Finally, for help on teaching the content of some thought experiments, see these 60 second videos from the Open University. Perhaps a video representation will also help students respect the parameters set up by the experiment.