When we feel emotional pain, we just want it to go away and feel better. There are many ways to do this: stay busy with distractions, drugs/alcohol, food, etc. What you suggest, to sit with the pain and try to really understand and accept it, is so difficult, yet so necessary. And yes, the first step is to allow oneself to grieve for whatever has been lost.

The key is not to try to fix it and make it better right away. That just keeps the wound festering and the pain fresh.