I developed coccyx pain from sitting all the time on a hard chair. I have a sedentary job. I did not visit a doctor for the severe pain. I bought a cushion from amazon - "RelaxoBak Back and Tailbone Orthopedic Comfort Cushion" This reduced the pressure on the tail bone area and after 3 months I started to feel better. Some times I did muscle compression exercise of the tail bone area.
Now after 6 months I hardly ever feel any pain, but still continue to use the cushion at work.
[See also - Coccyx cushions]