I struggle a lot with sad feelings. Recently, I started going through a DBT workbook. I'm doing the green one by McKay. It's been helping me. I've learned to use REST when I feel bad. And that leads to doing things that distract or soothe me. Another thing I'm learning from the book is mindfulness and meditation. Those are quite helpful. Perhaps you could speak with your therapist about some DBT techniques. I wish you well.