I play my guitars, sing, paint, write, or just make something with my hands like an amp or a pedal. I record music and mix it. Sometimes, though, I'm just too drained to do anything creative, but fortunately, the universe is full of things which, if I didn't know better, appear tailor-made to help me with my troubles.
What works best is to get outside myself. Listening to other people talk about themselves gives me a lift like nothing else. It doesn't matter whether they're talking about their triumphs or woes, it just does me a world of good to know I'm not alone. Physical activity, especially outside during daylight hours, is also helpful. I have depression, which, fortunately, is well-managed at the moment. I'm grateful for that, and looking at things from a perspective of gratitude also helps tremendously. I am also well-enough acquainted with depression to know that sometimes it requires medical help, and will not allow myself to go on too long without seeing a doctor.
For me, it's all about being open. When I close myself off, I can quickly get into trouble.
Sadness that is related to a particular event? I experience it, and grieve. I have enough life under my belt to know that this too shall pass, whatever it is.