Hi, Kosjitov -- it sounds like smoky quartz was a good choice for the effects you were after (ie., grounding, dealing with some negative emotional stuff...). If it doesn't seem to be helping, that could be due to a few different reasons...
When you first got it, did you do anything along the lines of cleansing it, "programming" it, bonding with it...? Some people swear by these things, and others deem them all a bunch of hooey, but what really matters when it comes to your crystals is how you view these things.
Cleansing...forgive me if you already know this, but here are some thoughts... I don't own any smoky quartz, so I haven't researched out whether it will be okay if you try to use water or direct sunlight to cleanse it -- those are popular methods, but it's always advisable to check first to see if they'll be harmful to a particular stone (some stones do not react well to water or to prolonged exposure to sunlight!). Other repeatedly suggested methods I've seen include leaving a stone in moonlight overnight, burying it in sea salt or rock salt overnight, "washing" it in the smoke of burning sage or sandalwood incense, placing it in the vibrations from a singing bowl, or passing it through the light of a lit candle. You can experiment, and also just pay attention to which of these might appeal to you the most.
Programming...I've read several times that when you first get a crystal, you can program it to work for you in certain ways. Methods vary, and others can weigh in, especially as I don't have much experience yet with this aspect of crystal work -- I'm new enough to them that I still prefer letting them show me what they're all about initially rather than me trying to tell them what to do. Then again, if you're looking for a certain function (such as, say, grounding) that's supposedly well within the scope of the stone you bought, you can probably have a small meditation kind of ceremony in which you sit with the stone in your hand, get into a relaxed/meditative state, then tell it mentally (or even aloud) that you wish for it to specifically help you with grounding. Again, this is not my own forte, so I don't want to say much more on this principle for fear of steering you wrong...but it's something you can look into and consider if you haven't done so already.
Bonding...again, for any one method I can cite here for bonding with a crystal, you'll most likely find that for every enthusiastic proponent who loves that method, there'll be an offsetting detractor who thinks it's lame and useless. Once more, it comes down to what works for you. Some people like to keep the stone on or near their person for an extended period, including sleeping with it in their pillowcase or under their pillow. Some meditate with the crystal (you can even try visualizing yourself inside of it, which is a neat-sounding exercise I just read about but haven't yet attempted myself). Basically, the notion here is that actively trying to bond with a given stone will enhance its ability to work with you, while not bonding might yield less effective results. That's the theory, anyway -- I'm sure the truth will vary wildly from person to person and stone to stone.
And of course, whether you've tried some or all of the above or not, it could just be that this particular stone you got is simply not a great match for you, or isn't a great match at this point in time (you might want to set it aside and try again later, is what I'm getting at, and not just give it away or chuck it). If that's the case, then sure, a different piece of smoky quartz or a different stone altogether might be a good next move. A few other stones thought to be good for grounding include hematite, black tourmaline, fluorite, carnelian, and black obsidian. And as I said on another thread somewhere, Boji Stones are supposed to be powerhouses for grounding, but I've never seen them for sale in person at any occult shops I've visited, so you might need to look for those online. Similarly, gemstones shaped into cubes are supposed to have extra grounding properties, but again, I don't think I've ever come across any cubes when out shopping in person -- wands, eggs, spheres, pyramids, and obelisks, yes, but no cubes -- so you might need to look into ordering something. People really seem to praise black tourmaline for its effectiveness in grounding, protection, and coping with negative emotions, so that might be a good one to consider, as it's pretty easy to find, should come in pieces small enough that you can carry them around, and shouldn't break your budget (I just got myself a piece, as a matter of fact, but it'll be a while before I get to it later in my queue...).
Good luck!