Treating pain in the coccyx is quite challenging and difficult. Initially I would advice you to take regular painkillers, avoid prolonged sitting and use a cushion with a hole in the middle(also called coccyx cushion or polo cushion). This will have to be done for a few months to see if it makes any difference. If that does not help, then the next thing is to try steroid injections into the coccyx. These are effective but the effect is quite varied. You may need more than 1 injection to improve your symptoms. If all of these fail, then surgery may be the only option but that has a success rate of only about 50%.