Since I consider therapy a necessary evil, I don't find it fun. I can see how it would be if you enjoy your therapist's company, though.

I don't think there is a way to do it wrong, unless you adamantly refuse to change anything about yourself or your life. I think there are mistakes you can make - one of them is to get hung up on the idea of being a good client or doing a good job (there are several recent threads on this).