I don't "sit" with my feelings. I try to channel them in the most productive way possible after I acknowledge them of course. My "protocol" so to speak for dealing with my feelings is this:

1. Acknowledge the feeling(s)
2. Detach from the moral judgment
3. Understand what causes it and deal with the cause the best I can
4. Find constructive or the least destructive ways to channel it if it doesn't go away

This "protocol" has worked fine for me so far.

I don't believe in "sitting" with feelings without finding some healthy outlets to release them. All it does IMO is bottles them up inside, and then they start eating away from your health, because feelings are nothing but energies, and so if you let all kinds of intense energies stay in your body, there will be consequences, and I am not talking just about mental conditions. "Sitting" with your feelings, as well as suppressing or repressing them too long and too often, can and often does lead to development of physical illnesses.

This idea that "sitting" with feelings is something that steers you in the direction of health is one of the myths of the profession. It's a primitive misinterpretation of a much deeper spiritual concept of self-awareness that suggests that it's not the feelings that are the problem but our identification with them. The fundamental Buddhist concept of mindfulness suggests that one can achieve inner peace through observing one's feelings, thoughts, sensations and other mental and physical states. Not suppressing, not repressing, but observing, which requires distancing from the objects of observation. That has nothing to do with "sitting" with feelings the way therapist suggest you to do.