If massage was hurting you, the practitioner was being too rough. I would look for a theraputic medical massage place and ask for someone who does myofascial release, treats fibro patients, etc...you want the opposite of deep tissue, but done in a way likely to help (not just such light pressure that it won't help). I don't get help with my head, but the decreased neck symptoms, stress relief, relaxation, etc, are very worth the low cost for me with insurance. Its not so much that these little things are likely to help, but that you know you've tried them...there isn't that "what if" out there. There will always be some (six years into it I still have a decent list), but it lessens over time to the more expensive or unlikely treatments.
I think the act of continuing to try one thing at a time does the mind a lot of good, but at the same time not having it being all consuming. No need to quit your neuro...I often try out new ones without saying anything to the old one unless I do decide to quit. Multiple opinions never hurt. Just ask them the first visit what their treatment plan would be as you are deciding whether its a good option to switch doctors (ie. you don't want them to prescribe you anything or send chart notes anywhere...unless you want suggestions sent to your neuro since you like him). Best wishes.
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