Coccyx

The Coccyx is a small triangular bone formed from four fused vertebrae at the base of the spine, which articulates with the sacrum to form the back section of the pelvis.  The coccyx is often called the tail bone, as it is all that remains of the tail our monkey ancestors once had.

The Coccyx is not designed to take our weight

The coccyx can sometimes become quite painful after a fall, or sometimes after childbirth. Also, despite the fact this small bone has no load-bearing function, many people drop their body weight onto it when sitting or reclining in a slumped position. This puts pressure on the coccygeal nerves and can make the coccyx very painful. This pain is called coccydynia. 

A coccyx cushion may reduce pressure on the tail bone whilst sitting, which can be helpful on a temporary basis.  More helpful long-term, would be to learn how to improve your body use, so you sit in a balanced manner with your sitting bones supporting the weight of the torso.  You would then stop putting pressure on the tiny coccyx and in many cases, this would end your pain and discomfort.