Well, I do two things. First, I tell myself that it is all in the past, and no matter what I do I cannot change it. I then sit down and figure out how to make sure it never happens again, so I am prepared for next time. <-- Note: Does not apply if talking about relationships.
2nd: Play games, read books, watch stuff till my eyes bleed. Just bury myself in that for a while. Not anything depressing or dark either, something light-hearted and funny.
And... That is the extent to which I deal with sadness/depression. Might not be the healthiest options ever, but they seem to have worked for me, so maybe they will help you.
EDIT: Also, avoid negativity. Never helps me when I am sad.
2nd: Play games, read books, watch stuff till my eyes bleed. Just bury myself in that for a while. Not anything depressing or dark either, something light-hearted and funny.
And... That is the extent to which I deal with sadness/depression. Might not be the healthiest options ever, but they seem to have worked for me, so maybe they will help you.
EDIT: Also, avoid negativity. Never helps me when I am sad.