My therapist does coaching in between sessions- I find it very useful. He prefers to talk by phone, but we do occasionally email if one of us is traveling outside of the country. It's particularly useful if I'm getting too caught up in my own anxiety or depression to think straight, and then we generally work out together how I can take care of myself and how I can start to feel better. I felt a bit weird about it in the beginning, but I have found it so consistently useful that it doesn't bother me anymore - and I'm getting much better at pulling myself out of whatever I'm mired in, so for me it's been really positive. It's helped me to internalize the idea that help is accessible, both from other people and from within myself.

Would you consider trying it as an experiment a few times and seeing how it works out for you?