Learn to turn and back up. This ability is vital for many shots in tennis, including ground-strokes and overheads. In the United States, we view retreat with disdain, however, defense is what separates most of the top ten players in the world from the rest. Good defense starts with movement.
To work on moving backwards properly, begin by moving without a ball. Stand on the baseline. Drop your right foot behind your left foot. Shuffle back. Plant your back foot (in this example your right foot), then push forward off the planted foot and stroke a forehand. Move back up to the baseline by simply running forward. Execute a split-step, then repeat. This exercise will prepare you for proper defensive movement in a match when your opponent strikes a hard, deep shot.
Next, you can have your pro or a friend feed you high deep balls by hand from a few feet away and to the side so you work on backing up and recovering.
One final piece of advice: when you start hitting, aim high as your defensive position requires you to buy time for recovery and use height to clear the net since your weight is going backwards.