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I've had coccyx pain for about 3 years now (it was caused by a doctor injecting me in the wrong place, and the scar tissue seems to be causing it to be hypermobile, so it never goes back into place - even with internal and external manipulations - and causes me pain). It can't be fixed, it seems. Steroid injections don't work. I'm currently (for the last year or so) taking intermittent glucose injections into the coccyx (private treatment), which were recommended by my former osteopath, and my cranial osteopath agrees with them. They may over time make the coccyx more stiff and stable, though I haven't had any results yet (adverse or good).
The reason I'm writing is that I guess I'm a lot more positive about my pain (although it's been the same level of pain for the last 3 years) and I thought I could tell others what I do to manage the pain and make it easier to cope with.
I see a cranial osteopath (different from a regular osteopath, but classically trained), since I kept finding myself in more pain after seeing the normal osteopaths. She's very good, and I would recommend trying this treatment if you've tried most other things. You can read about what cranial osteopaths do online, so I won't go into details here. I find it very good for my mental health - pain management - if not my coccyx.
I did Body Control Pilates for about 18 months. This was the best thing of all the many many things I've tried for my coccyx. Unfortunately my teacher emigrated, so I stopped going to classes as couldn't find a suitable replacement. Instead, I began yoga classes. I find these a progression from Pilates, and just as good for my coccyx and general wellbeing. The best way to cope with pain is to not have any additional pain in the muscles all around your coccyx, and indeed, the rest of your body - I was often getting a normal bad back from sitting in funny positions, and if I get that now it goes away very quickly, and I know what exercises/stretches to do to sort it out. What I will say about Pilates is you must take time to find a good teacher. Many people train for a weekend then begin teaching, as it's not regulated. You need a teacher who's trained for a year or so. And, there are two types of Pilates teachers, those who come to it from an athletic background (like ballet, or aerobics) and those who come to it from a more therapeutic background (osteopaths, masseurs, physios, etc.). The second type are what you want, as they will not stretch you too much, and will focus on recuperating you. After about a year, I really felt like the Pilates was doing good, and I began to be motivated enough to do it every day. I still do 20 minutes every morning of Pilates stretches, and now add some yoga into that. It's as much a part of my routine as eating breakfast and showering. AND, I wasn't a fit person before this - I never did any exercise, except going swimming now and then. You get all shapes, sizes, sexes, and ages of people in a Pilates class, so please don't be put off by going because you're too shy.
I honestly have to say that without Pilates I don't think I'd have been able to cope with the pain, and with working full-time (at a desk) with the pain. I can't recommend it enough. I also have to say that I don't recommend doing yoga until you've done Pilates, as yoga is too advanced and too risky unless you have the fundamentals of Pilates under your belt, knowing how to hold yourself in all positions, etc. I now find yoga just as helpful as the Pilates, though, and I also find that there are far more positions in yoga that don't put pressure on the coccyx (in Pilates you have to be prepared to cope with some lying down on your back, which I think in the long run if you're learning more about your body and making it better, is a fair trade-off).
Also, the best seat I find, is a gym ball. This is also good for the health of your spine in general, but I find that it's much easier to sit comfortably on one of these, and you can easily move around on it, and it's just the right firmness/softness. You're not meant to sit on one all day though, as your spine does need some support so you should use it for several hours at a time then switch to a normal chair. I also have a cushion that mimics a gym ball for my conventional chair. Not as comfy as the gym ball, but better than just the normal chair. It's an exercise cushion that you can also use to stand on to improve stability in leg muscles, but I use it for sitting only, of course.
I don't use any painkillers as I find they don't get to the cause of the pain, and only mask it slightly, but it's always there. Instead, I use a TENS machine. I have a mini one that cost about £30 from an online health site. They're meant to relieve pain for about 20 minutes after you stop using them, but I don't find that happens. I do find that when it is on though, it eliminates the pain (but the pain is still there afterwards, oh boy, so you have to be careful not to use it for too long and forget to stand up to have a break). I recently took my first long-haul flight - 9 hours. Something I never thought I'd be able to do. I was in a lot of pain, especially after a few hours of sitting, but I also had the TENS on throughout the whole journey. I wouldn't have got through it without it, frankly, and I know I pushed my pain to the limits and can do anything now.