Well, truthfully I do try. I swim, I do yoga (when I remember to go!), I read, I watch TV, I go for a walk, I treat myself to cake... but sometimes it all goes tits up and I lose my cool. Mostly it comes out in other ways; breakouts, tight muscles, headaches, jaw pain. Sometimes a massage helps.
But really, I find consistent exercise, good food and good company are the things that keep me sane. I have never really found much relaxation in alcohol. Probably because it used to make me feel sick. If anything, I would say that food is my therapy - not the bad stuff really, more often a good wholesome and filling meal will help improve things. Especially these days! Hurrah for babies when you can eat more and not get (too) fat. The little parasites take you for all you have.
Sometimes a book or a TV show does not have the desired relaxation effect AT ALL. For example, 'Shantaram' just made me mad - such a long book full of faff. It had moments of poinient insight, but on the whole it really seemed like an indulgent price of crud. Now we have started to watch 'The Walking Dead'. I have only seen one episode and I think I might be hooked, but I also find it not-at-all relaxing. I mean, now I just hear noises and think a zombie is coming to chew on my flesh. Sigh.
All you can do is try to keep your head above the pressure level. Doesn't always work. For those times, there should always be a stash of dark chocolate and red wine nearby.