Basic Approach Shot Drill

The Forehand Approach
 The players line up behind the center mark on the baseline. The coach or a ball machine feeds a short forehand. The player, hitting on the run, hits down the line to the opposition's backhand corner. He or she follows the shot a few steps and then exits to the alley so the next player in line can take a turn.
Depending on the ability and game-style of your players, you may find it better to work with just one or two players in this drill.
Approach + First Volley   When players consistently put the approach deep in the corner, then you add the first volley to the drill. So, instead of exiting after hitting the approach shot, a player plays the next shot too-a first volley down the line, deep into the same corner. He or she follows it a few steps into the forecourt and exits to the alley so the next player can take a turn. (This introduces the idea of a set-up shot)
Approach + First Volley + Put-Away Volley   When players consistently put the first volley deep to the backhand corner, then you add the second volley to the drill-a crosscourt angle shot. (This introduces the idea of a finishing shot.)
The Backhand Approach   To drill the backhand approach, you run the mirror image of this drill. Feed short shots to the left court. The players hit backhand approach shots and first volleys down the line, then they hit put-away volleys to the opposite alley. Start drilling the Backhand Approach as soon as the players have some success on the forehand side. If you wait too long, they get such a head case about their backhand approach being weaker that they never attempt it.
Tactics   Approach shots need to be deep. But they do NOT need to be fast, especially if you hit them with topspin. In fact, the most common mistake in approach shots is whamming them. It's good if your approach shot eats some time. Then you get closer to the net for your first volley.
Conventional wisdom says that underspin approach shots are best. They are so reliable and easy to hit on the run. Which means they get you closer to the net for your first volley. Even if one lands a little short, its topspin usually gets the opponent moving backward to play it from deep. Some touring pros (notably Andre Agassi) prefer topspin too. So, you'll have to decide which side of that argument you're on.
Do not hit approach shots at a sharp angle. That's because an angle-shot's Angle of Return is a fright = you can easily be passed. Yes, John McEnroe followed his screaming angle shots to the net. You should do likewise, both to get out of no man's land and to be in position to put away a return. But if you view screaming angle shots as approach shots, you're going to be whamming them just to get to net. That's unnecessarily risky. Use the (high-percentage) regular approach shot for that, instead.
Screaming angle shots are attempted winners, not approach shots. Like a basketball player, you do follow them. Nevertheless, just as a basketball player puts up a shot to score, not to get a rebound, you do not hit screaming angle shots to get to net. For, unless they are VERY forcing, you are in trouble if the ball comes back.
A note about feeding the ball in drills:   You give those you're drilling better practice if you keep a cart or sack of balls and feed a new one for each shot-especially when feeding lobs.