My family name is Xu, and the Chinese character is "徐", which means slowly or gradually. Apart from directly borrowing the pinyin spelling as "Xu", you can also spell "徐" as "Shyu" or "Hsu" in English.
"X" is pronounced as /ʃ/ in Chinese pinyin, similarly to "Sh" in English. Therefore, Xu is pronounced similarly to /ʃʊ̈/ in English. You can also check out this short video to see what it sounds like.