I don't know how mrz does it but I found that my struggling KS3 pupils quite clearly deonstrated the danger of trying to teach these words as 'wholes' in that they found it very difficult, or impossible to tell the 3 most often encountered ones, through, though & thought, apart! In my opinion this was because they hadn't been taught to decode the words all through, from L to R; they'd been taught them as /'wholes' (which is one way that the teaching of 'sight words' is interpreted) They just seemed to notice the 'th' and the 'ough' in the words and then have a guess at which one it might be! And, they found it very difficult to break this habit, developed over 6 years.
So, these words must be taught by sounding out and blending, just as any other word; this way the detail within the word should alert the child as to which 'sound' of the 'ough' is needed. And, there has to be some word specific learning involved, too. Phonics (well)taught children are aware that aspelling can represent more than one sound, it's just that in these words one spelling is representing rather a lot of sounds, and in some cases, two sounds, so there's more to remember.
I ended up making a crib sheet for my pupils to keep in their files with the 'ough' words listed under the sound/s that the 'ough' in them represented. When they met one they weren't sure of they had to find it on their crib sheet; which meant looking at it properly in the first instance and recalling the letter order within the word.
I suspect that when teaching absolute beginners you'd teach one representation at a time but I'll wait for mrz's answer 
P.S For all this, it only affects some 16 -20 words (plus their derivatives) in English.