I had it pretty badly for a couple of years. Whenever it started to get better I started using it too soon and back to square one. They when it was quite bad I started sailing Lasers again - which I thought was totally daft with my elbow. So I went and purchased one of those straps you velcro round your arm with a small pressure pad. Every time I pulled the mainsheet I though "this will ruin it for weeks". However, the elbow actually got better, through the sailing, etc. For me this arm strap was amazing.
I have it at the moment. Physio has helped me a lot. However, I stupidly went sailing the other weekend and made it really bad again (it had just started to get better). I have now been banned from sailing for at least the next month.
Therefore, make sure you don't go sailing too soon otherwise you could do yourself permenant damage.
I wear a support bandage when I do sail, and my physio is going to teach me how to tape my elbow up properly.