Muay Thai punch bags, or heavy bags, are a great addition to any gym or home setup. They can be used in a variety of ways to develop speed, combination work, technical work, accuracy and conditioning.
When in a gym setting with a coach, you're likely to be told what sort of strikes or combinations to work on the bag. If so, work on what your told to and do so with power and speed, while perfecting technique. Proper technique should be the goal, so if your technique slacks, reduce the power and speed. Even when fatigued and working the bag with speed, try your best to maintain proper technique.
You may even be told to have an open round on the bag. In these instances, think of something you'd like to improve, whether it be a combination, movement or individual strike, and then work on that. Do so with purposeful practice. For instance, if you want to develop teeps, get your range and teep the bag back and forth in a rhythm. If you want to build your shin conditioning, hit the back with hard low and body kicks.