If you have damaged your coccyx or tail bone and its surrounding ligaments, it can sometimes be quite difficult to heal itself.
Your first treatment would probably be an epidural or nerve block to ease the pain in the ligaments around the coccyx as well as manipulation and physiotherapy.
I had the coccyx manipulation treatment which was done under general anaesthetic and although I was in a lot of pain immediately after the treatment, after a few days the pain lifted. That is over eleven years ago now and the pain has not come back (thank goodness).
However, some are not as lucky as me and need further surgery where they remove the coccyx, but it would be a last resort as it does naturally carry risks and may not always ease pain from damaged nerves.
For more details on coccyx pain head down to coccyx.org