Fell on icy steps, legs came out from under me and landed on my bottom very hard. Terrible pain for a year. Cushion at work and home helped but always hurting. You know the story.
Then one day a friend I hadn't seen in awhile mentioned it had happened to her and she was cured by a hot bath. I thought this silly and ignored her sage advice. (I always take showers). Two months later, I decided to give it a try. Made the temperature as hot as I could take, lay back (I am 5'4") and read a magazine for 20 minutes. When I got out of the tub I instantly felt better. Thought it was my imagination but it wasn't. Over the next week all my muscles in my bottom and back started to relax and recover. I still have arthritis in my lower back (mri had shown that) but that very distinctive coccyx terrible pain is gone. Now seven months after the bath and still no coccyx pain.
I hope this helps someone. Please try it if you've been in pain a long time