Your point is an excellent one. Ideally, I would prefer to develop a shared understanding of Gary and his problems and then intervene. If interventions are based on a shared understanding, they are more likely to be on target and Gary is more likely to follow through on them in real life.
The reason I tried a quick intervention was two-fold. First, Gary was asking for some quick symptom relief to help him cope while we worked towards a better understanding of his problems. This seemed like a legitimate request and a number of my previous clients had found progressive relaxation to be helpful, so it seemed appropriate to give it a try. Second, I was assuming that if the relaxation exercises did not work, Gary and I could take a look at what went wrong and discover additional clues which would help us in developing our shared understanding.