I find out what made me sad, and the root of it. Writing down helps. Talk to someone close to you about it. Sit in a park and organise your head on this matter.
If I could do something about it that could fix the root cause, I'll ask myself the following questions:
Will I regret it for the rest of my life if I don't do anything about it right now?
What should I do or what lesson have I gained from this?
If feeling partial about both ways (for e.g. A breakup), write down all the positive/negative things about it. Most importantly, the experience you gained from this. Your future self will thank you for this.
If it was something that you could not do anything about it (loss of someone close to you), remember that every time spent was a good memory. Think of all the memorable experiences, good or bad, and just let the sadness overcome you. All the time spent with that person was not wasted as you made him/her happy for a moment. Cherish all these great memories that made you the person you are today, he/she does not die as you are the living legacy he/she left behind which made you who you are today. Write all the memories you had with this person/experience/etc.
Escapism. I don't recommend this without the previous steps as you will continue being sad once you are done with whatever activity you were doing. And this is going to affect every part of your life. All your experiences, no matter a positive or negative one, made you the person today. Don't let it crumble to pieces. I usually play computer games, hobby or learning something to escape once I've reached a certain threshold of sadness (lol), then I will proceed with this.
Sounds robotic I know, but all that sadness came from a loss. You had goals/experiences/people and all that made you the person you are today. Are you going to let that memory die off? Are you going to continue to be stuck in the past? I'm sure many of us reminicse of the past, but don't be stuck in it. Continue forward with whatever memories/experiences you gained from this. Tell a loved one you love them. Make plans for the future for you to climb back onto your feet. Arrange meetups with your long lost friends. Tell the ex that the memories and lessons you learned will not be forgotten, and remember those lessons with your next SO.