I have found exercise helps-walking and running, and some weights, but this would not suit everyone. I was warned against yoga and heavy weights due to degeneration of my coccyx and lower spine. I also swear by my heat pad.
Some people may benefit from Cognitive Behavioural Therapy to help them learn to cope with the pain.
There are so many possible causes of coccydynia. It may well be just the coccyx involved, but it may also be caused or aggravated by other factors. In my opinion one should explore all reasonable, likely, possible causes. Do not assume the pain is just coming from the coccyx. It may be referred pain from nearby muscles, or organs.
I am sure the list above is not exhaustive. I have compiled it from my own history and knowledge from being a nurse - which is obviously limited. As I said - I am not a specialist, just a coccydynia sufferer.