You are not doing it wrong. Grieving, I mean. You're doing it exactly right. When someone well-meaning tells you that going out really helped them through their loss but it exhausts you to think about, it's because their way is different than your way. When someone else tells you that sitting in bed reading all night helped them free their mind but you have an itch to get out and go for coffee with your girlfriends, it's because we all grieve differently. We all grieve in different ways, yes, but never wrong ways. Only our own broken hearts know what feels right, what is able to ever so slightly take the edge off the ache that we try to learn to live with.
Don't let someone tell you that you're doing it wrong. Don't let someone convince you that their way is the right way and that, whatever you're doing, is somehow detrimental to your recovery. Don't let someone's "if I was in your shoes..." make you feel like you're broken, or wired wrong, or somehow steps back from where you should be. That's the other thing about loss: there is no should be. There are no expectations, no measure of normalcy. Nothing is normal about losing a child. Remember that, whenever someone implies you're doing it wrong. Whenever someone implies that your hour-long sobfest in a warm bath isn't helping you any or that your fourth trip to the movie theater in a given week is you refusing to heal, know that they are mistaken. Know that however you are grieving, it is the right way.
Don't let anyone trivialize your grief. Mothers, don't let anyone who never felt your little one kick from the inside try to convince you that those little kicks are replaceable somehow. Fathers, don't let anyone who never held your sleeping baby try to convince you that they weren't really a child because they never counted those tiny little toes before saying goodbye forever. It's okay to acknowledge that your grief isn't allowing you to deal with other people's problems at the moment, even if you want to. It's okay to say "I can't." It's okay to say "I'm not ready." It's okay to say "I don't want to." It's okay to say however it is that you're feeling without guilt. There is enough guilt in loss in the first place.
Don't let other people tell you that your loss is too much for them to deal with. It is your loss; they have felt the ripple but have never been pulled underwater, held down by terror. Lay your heart in the lap of people who will let you grieve even when it means stepping outside of their comfort zone. Pull yourself close to those who are willing to set their own discomfort aside to try to help you settle the debris that is flying around your heart.
And, most importantly, give yourself credit because you're doing it right. You're doing everything right even when everything in the world feels wrong. Give yourself credit for facing each new day when it feels nearly impossible to do so. Give yourself credit each time you smile, laugh, cry, ask "why my baby?" -- because you're doing it right. And you're getting through the unthinkable the best way you know how.