I completely understand not wanting to give up your compulsions. It can be scary to venture into the unknown. And by now, your brain is wired to automatically go to those compulsions when you are feeling anxious. It is amazing how the brain can train itself. And once it gets into the groove, it can be very hard to break away from those old habits.
What CBT is supposed to do is help to lay new neural pathways in your brain. So basically, to train your brain other methods of coping with your anxiety, so that you don't automatically go to compulsing as your go-to way to calm yourself. Believe me, its not easy. What your therapist is saying by just do it is that at some point, you have to just give it go. His/her job however, is to gradually expose you to the unpleasant feelings, so that you can know that when you do just go for it, that nothing bad is going to happen to you. So in a way, its his job to be able to accurately judge whether or not you are ready. He must feel like you are ready to just dive in headfirst.
I understand your frustration. I hate to tell you this, but many times with OCD, you have to get better before you feel better. Because OCD is such a complex thing, getting better means doing exactly the opposite of what you want to do and what makes you feel better- which is compulse. But the less you compulse, the easier it is to resist. And eventually, the complusing stops all together.
Hang in there!
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Life isn't about waiting for the storm to pass. It's about learning to dance in the rain. 
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