Feelings are just feelings. They don't have to hurt anyone including you. If it is at all feasible, I say if you feel like curling up in a ball and crying, then that's what you should do. It won't be permanent, you will get up, and it will help you grieve the separation.

Therapy is very hard (kinda sucky actually), because the exposure to the therapist is intermittent and it takes awhile to incorporate the permanence of that experience when one is not actually in it. It's okay the way you feel, it really is. In my experience, it transforms into something quite remarkable.

Sometimes, for me, self-soothing techniques just absolutely fail. I would be cautious that you don't end up blaming yourself for not being able to self-soothe. If we could contain all these feelings, and make ourselves feel better immediately, then, well, we wouldn't be in therapy.

In the interim, perhaps it would help to ask your therapist for a little token from her office or something like that. Something you could keep with you all the time to have a physical reminder of the growing connection between the two of you.