I don't think there's anything stupid about breathing exercises. Think about it this way. Fear is perhaps the major emotional component to a DP experience. Fear, like all emotions, has physiological effects ? heart rate up, perspiration, hyperventilation, adrenaline flush ? fight or flight. I realize I am describing Panic attack/Anxiety attack, not DP.
But even if you have no anxiety, panic component to yr DP/DR, I still don't think it would hurt to gain some skills in learning how to combat it, since Panic/Anxiety is so common among DPers.
Deep breathing will not help much in an acute DP/DR experience. But gaining some mastery in the ability to relax/calm yourself, which is what your therapist is suggesting, will probably help in the long term.
For me controlling my breathing was THE first step in learning how to take some control over my illness. And no doctor told me this, nobody told me this in fact. I figured it out for myself.
I credit mastery over my breath, along with yoga, meditation, cognitive-behavioral therapy as being absolutely key in my recovery. I have had no DP/DR for 7 years.