For me, setting a space for the feelings is basically giving myself the a set amount of time and privacy to allow myself to feel without judging myself or working to rid myself of the feelings. If I feel anxious, my gut instinct is to run from it - try to get it to go away - numb myself somehow. By being curious about my feelings and allowing those feelings to come up, there's greater potential to learn what my body is trying to communicate. It gets frustrating at times, but I found that running from it only keeps it alive. I am working towards trying to work through things rather than run from them.