The best first aid is to avoid what causes the pain. Unfortunately that means avoiding sitting down, and that's very difficult to do, especially if you're hoping that it's just a minor injury that will go away by itself, and you don't want to make a fuss. But it really is worth trying. Every time you sit down you're aggravating the injury. If you carry on as before, you're like a runner who has sprained an ankle, but insists on carrying on running.
If you do sit down, a cushion with a slot cut out under your coccyx can help. Start now - don't wait till you're desperate. See the section on coping for hints on how to get through life without sitting down.
Some doctors recommend ice packs to reduce the inflammation. See if they work for you. Some people find a hot water bottle or heated pad relieve the pain. The doctor may also prescribe anti-inflammatory drugs (NSAIDS). Several people have reported that suppositories of diclofenac, an anti-inflammatory, help with the pain. If you use drugs to help with the pain, you need to be careful not to use them to mask the pain, sit longer, and aggravate the cause of the pain.
If the damage is minor and you're lucky, the pain may go away without further treatment.
Many of us hide our pain in everday life, and carry on sitting down even though it hurts. But if you hide your pain at the doctor's, they will assume that it doesn't hurt much. If it hurts you to sit, then stand up in the waiting room and in the doctor's surgery. Or pull two chairs near to each other, and sit over the gap between them. If your feet hurt as well, ask the doctor if you can lie on his couch during the consultation. Don't exaggerate your symptoms, but don't play them down either.
Before you go to the doctor, look at the investigations page, so that you can discuss the tests the doctor might do. Your doctor may refer you to a specialist, ususally an orthopedic specialist, sometimes a spinal or neurological specialist. Ask your doctor to send you a copy of the letter he or she sends to the specialist.
Most of the tests that doctors carry out are not much help, except to rule out cancer as a cause of the pain. There are two tests, injection of local anesthetic and dynamic sit/stand x-rays, that are really helpful in finding the cause of the pain. Unfortunately a lot of doctors are not familiar with them, so you may have to be very persuasive to get them to do the important tests.
Unfortunately you may have this pain for a long time, and try many different treatments. It is a great help if you keep a diary of how bad your symptoms are, what medicines or treatments you have taken (including 'alternative' treatments), their effects and side-effects, visits to doctors and what they said, and anything else that may be relevant. When you visit a specialist you will be able to give an accurate history of your problems. I went as far as printing out a one-page history of my pain and presenting it to any doctor I was referred to.