I think that sadness can describe a number of differing states of mind. An appropriate response would depend on why one is sad and the type of thoughts which accompany the continuing sadness.
However I would say the most generally applicable response is to attend to bodily sensations arising and passing away with the breath. Sadness is often an experience we resist being aware of and in the processes we tend to prolong it and get into intrenched rumination about it.
I hope this helps.
"Beautifully taught is the Lord's Dhamma, immediately apparent, timeless, of the nature of a personal invitation, progressive, to be attained by the wise, each for himself." Anguttara Nikaya V.332