That's a very basic CBT concept, and one of the most useful understandings I got from CBT, but it isn't so much about changing your thinking -- that's a common misunderstanding about CBT. It's about understanding what you are thinking and how that is driving your emotions. If your thinking is based in reality, your feelings will generally be in line with reality.

For instance, if I am missing a person because I'm used to being around them and we are separated for some reason, that sadness or longing is perfectly natural and normal and rational and doesn't need to be changed. However, if I am separated from someone and I jump to "I'm going to be alone forever; I'm such a loser" "no one will ever love me," "I can't live without that person," etc., those thoughts are probably less rational and lead to feelings of inadequacy, depression, desperation, etc. At that point, I need to revisit those thoughts and decide if perhaps my thinking could be reframed in a more realistic/rational/less judgmental manner. If I can reframe my thinking, to the first line of thoughts perhaps, then generally the emotions will follow and I can honor that loss (in my example) as completely okay and allow them to exist without chastising myself about them.

So it isn't as black and white as saying "my thoughts are wrong; I must change them" as it is "my thoughts are skewed negatively somehow; how can I reframe my thinking for less judgment and negativity." It's more about adjusting one's thinking than about rejecting one's thinking completely.