Clay Cockrell's Walk and Talk Therapy - A Unique New York Therapist's Approach to Improving Mental Health. The New York City Therapist has been attracting a lot of attention with his unique "Walk and Talk" therapy style of working with his clients. He has moved them out of the office, off of the couch, and taken them on a walk, in a friendly setting, that he claims is aiding in opening up their minds, and allowing him to treat their issues more efficiently and more effectively.