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I need to change several habits but whenever I do something that is new to me, I get a little stressed. I used to have depressions and I know that CBT or cognitive behavioral therapy described in self-help books works for getting over extreme lethargy, but it doesn't seem to help me when the problem isn't really specific, and it also doesn't help within the immediate time frame because it's mostly a journal technique. I mean ultimately CBT will work, but it doesn't seem to work fast enough. Is there anything better?

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I need to change several habits but whenever I do something that is new to me, I get a little stressed.

That happens to everyone, including me. You need to understand one thing -- change is a part of life.

I am no expert either nor have I read any book on this topic however what I learnt from my experience is change should be slow. Any drastic change can cause problems sometimes. I substantiate this statement by giving you the example of an industry practice for adopting changes called Kaizen.

I quote from some website:

In Japanese, the definition of Kaizen is "improvement" and particularly, "Continuous Improvement"-- slow, incremental but constant.

Now, time to apply this to your real life, the simple way.

Step 1. Identify what you need to change.
Step 2. Identify if that change is even necessary.
Step 3. If it is, create phases to implement that change.

Here is a simple example:
Assuming you are addicted to video games and this is harming your productivity. You want to learn something new but can not get yourself to. Change the thing in phases as follows:

Step 1. Allocate time for yourself to play games. (Say, 2 hours at the start)
Step 2. Identify something that is new yet closely related to gaming -- how about learning how to design a game ?
Step 3. Allocate 15 mins a day from your gaming time to this new task.
Step 4. Gradually increase the time you dedicate to the new task.
Step 5. Target to meet a realistic deadline

I have been using this technique so far and works for me. Your thoughts on my answer are welcome :)

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I'm no expert on this but I've been reading the book "Willpower" by Baumeister and Tierney. In this book the writers state that willpower is a limited resource. If you want to do things that rely on willpower, like changing habits, you should change only one thing at a time until it you've changed it into a new and good habit that you like. If you try to change multiple things at once you have a big chance that your willpower gets exhausted and that you'll fail to change any habit.

As for stress-reduction, personally I like to meditate on a daily basis. It helps me but if it will also work for you is an entirely different matter. My suggestion for you would be to try several things and see what works and doesn't work. Some examples of things you can try:

  • take short breaks regularly where you just don't do anything
  • listen to soothing music
  • keep daily journal (I guess you are probably doing this already with CBT, but just in case)
  • stop drinking coffee and start drinking chamomile tea
  • play with your kids
  • take a pet
  • take yoga or tai chi classes
  • take a meditation or mindfullness course
  • start jogging
  • get a massage twice a week

Basically anthing that will take your mind of your stress-inducing problem might do the trick.

Finally, if you are really this displeased with yourself you might want to ask a professional for help and/or tips.

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Thanks for having mentioned the book "Willpower". I'm about a third way through the audibook and it's definitely interesting. That they speak of David Allen and GTD is bonus! –  eflat Mar 7 '12 at 19:09
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