If you decide to terminate, then I think the feelings of loss on your part will likely be inevitable - because it will be a loss.

I'm not sure you can get around that. However, in my opinion, that shouldn't be a reason to stay either.

Loss is a part of life. If it's just not working well with your therapist, then it IS time to go on. As far as hurting his feelings, you won't. While I wouldn't say "hey this other therapist is sooooo much better than you!" I would be honest though, and indicate that his methods just don't appear to be bringing much relief.

In reality, he shouldn't try to talk you out of terminating. It's your decision. He may suggest a couple of sessions to sort of tie things up. It's up to you whether or not you go.

Good luck!