I understand your problem , I would have guided you properly if you would have mentioned your age and profession you are in (have you been in sitting profession for long , some desktop job???), with kind of details you have mentioned you are suffering from condition called coccydynia , and you also need to get a x-ray done for your lumbar spine .For your tail bone pain , you need to keep lot of patience , it takes time to subside .In the mean while these are the following you should do to relieve pain. 1.Take rest if its paining badly , it work wonders 2. Sit in hot water bath tub for about 15 minutes. 3. Tyre like seats are available in medical stores in the name of cocydynia seats , these are there to releave pressure from tail bone. 4.Specific exercise known as kegel s exercises have to be done , consult your physiotherapist for the same .These are for strenghtning your pelvic floor muscles , many of my patients have reported improvement by doing this exercises. ultra sonic therapy (on pulsed mode) and short wave treatment for 10 days would help you to relieve pain