Basically, if your "coping" leaves you feeling out of control, ashamed, or creates a new set of problems, you could stand to bulk up your list of go-tos. These could be listening to podcasts or music and going for a walk, calling a friend, writing, exercising, reading, cooking, cleaning, anything, really, as long as it's not to excess and doesn't make you feel worse than when you started.
Another reason it's important to find a healthy coping mechanism is because it can be a way for you to face harsh realities. A big part of therapy is processing, bringing attention to the difficult thoughts and feelings that are a part of life. Because life often sucks! Think about that heartbreak you've been suppressing, the anger you've always felt toward your dad, that grief over your friend's death. Whether you like it or not, facing reality is both important and necessary for happiness. Creative expressions like art, journaling, dance, singing, or playing an instrument are some ways you can "get it out."