I used to get really stumped on midfulness, it literally took me a few years to fiqure it out. Which seems odd for a simple concept, and frustrating. I used to think I need to set time aside to practice it, or that like you said needed space for it. It doesn't need time set aside tho, and it doesn't take space, or much energy. At first yes, because it's new and very different then what we do.

Being depressed takes heaps of energy, negative thinking, self hatred, triggers, past...future, worry... So much energy. It's just that we know how to easily spend that enegy on those things. I started being mindful when I was cleaning, and doing household chores since that is what I spend a lot of time doing, and it's also a time when your mind really wanders off. Then I just started checking in on my mind through out the day to see where it was and what it was up to, so I could guide it back to now. After a while this takes little energy, and since you are spending less energy on those other things a real shift starts to unfold.

Jon kabot zinn has a lot of helpful mindfulness videos on youtube, if you have checked him out. I think they way he teaches this is quite helpful.

And therapy yes, just like Pegasus said. I didnt have a lot of therapy, so I read a lot, and did some workbooks and used other ways. But your therapist should really be a big plus.