Here's another example of a therapy style that is probably under-emphasized.
Relaxation techniques are simple, straightforward, and intuitive. There is evidence that they work; here is a reference to a Cochrane review on relaxation techniques for treating depression:
As with most any other strategy to deal with psychological symptoms, I do believe that a lot of practice is required.
Many people abandon relaxation techniques because they do not work when they try them. I encourage persistence--it could take months of daily practice for these skills to become more effective, effortless, and automatic.
There are different styles of relaxation training out there, and I encourage people to do a bit of research, and try a few different types. There are self-help books on the subject, as well as audio CDs and videos. Joining a group or taking a course can be a good way to learn and practice as well.
The beauty of relaxation therapy is that there is no risk of harm, it is side-effect free. However, some people with panic or psychotic symptoms can feel uncomfortable with certain types of relaxation experiences. If this happens, I think it is a technical problem to work around, rather than necessarily a reason to abandon the technique altogether.