I know some folks shouldn't handle firearms when sad. But, after I lost my brother (slash best friend) I found that going to a shooting range made me feel like I had some kind of power or control. I only did it a few times, but I remember it feeling nice.

I think maybe one of the reasons for feeling bad is the loss of feeling in control. Sometimes you gotta do stuff that makes you feel some kind of power or control (within reason, of course - nothing weird, illegal, or mean).

Otherwise, you can't avoid the pain/sadness completely. Just gotta let time pass for somethings. Being with friends/family can really help, too. I'd avoid substances and reckless behavior as that'll make you feel worse later (those things basically just kick the can down the road).