I had a hard time with various relaxation exercises but was able to work through it in therapy. Two things helped: one, finding certain exercises that work best for me (I do best without focusing too hard on breathing or I start doing it backwards and gettting upset instead of relaxing) and 2nd I recorded my therapist guiding me through them and practiced at home. I still can pull out the recording if I need it and the sound of his voice helps me relax as well as the familiar, safe exercise.