I always feel really weird and self conscious doing any of those mindfulness/relaxation techniques in front of anyone including T. Have you tried doing the exercises on your own in private? In my experience I am more successful with them when I have privacy but I still struggle. I think it just takes practice!

I remember when my first T was teaching me this breathing exercise and she said some people find it easier to do it when they are on all fours. She then proceeded to get on the floor and show me. I just sat there like and said "I will definitely wait until I get home to try that!" haha