The best practice for using security groups in Azure involves setting up Network Security Groups (NSG) to manage and restrict access to network resources effectively. This includes defining security rules that align with the least privilege principle, ensuring only necessary communication paths are permitted. Additionally, regularly reviewing and updating these rules to adapt to changes in the network environment helps maintain optimal security. It's also advisable to segment networks and use NSGs to isolate critical Azure resources, reducing the potential impact of security breaches.