Some doctors believe that a lot of pain that we suffer is not caused by damage to our bodies, but by our subconscious minds. Professor Sarno has written a book about this, Healing Back Pain.
See also a paper by Dr Schechter on psychological treatment of back pain
Several people have written to say that Sarno's approach has worked for them: Frederick Darrah, Todd, Patrice, Manuel, Silke Neumaier, Susan, Anonymous, Mike, Sandra Mateus, AG, Helena.
Manuel explains the approach this way:
According to Sarno's diagnosis, coccyx pain, back pain, sciatica, knee pain, RSI, etc. are in most of the cases produced by our subconscious mind (or autonomous nervous system, if you like). This doesn't mean at all that you are imagining the pain: the pain is real and can be excruciating. Actually, there is something physical going on with your coccyx, but the ultimate responsible is the brain. The great thing about it is that your conscious mind can reverse the problem, which means that you can be cured following a psychological approach. In many cases, this reduces to accepting and understanding the mind-body diagnosis.
David Wise and Rodney Anderson advise treating pelvic pain using a combination of learning to relax pelvic tension, with manual treatments. Their approach is described in their book, A Headache in the Pelvis and on their website, pelvicpainhelp.com. The manual treatments include trigger point release (pressing on external and internal tight and painful muscles) and myofascial release. They teach this method during intensive 6-day courses. They say that the book is intended to be educational, not to be a how-to method that can be used in the absence of competent instruction.
This book was recommended by Richard.
Before trying psychological methods, I suggest that you read the What is coccydynia? section and visit your doctor to have the source of your pain investigated. In most cases of coccydynia, there is a physical cause, such as a dislocating coccyx. If your doctor, after trying the appropriate tests (see the Investigations section), cannot identify a definite cause for the pain, then it is worth trying psychological methods.