Put a month in between starting something new, too. Depending on the particulars of the healthcare involved that might not even require COBRA (many cover you through the end of the month rather than ending the day you leave; many also cover you day 1 of employment rather than starting X days after, so you can quit on the 1st of one month, start new job on the 1st of the next month, or similar), but even if not, one month of COBRA and missed expenses isn't that bad.

But, that way you can actually have a breather, get back into a healthy headspace, etc, before starting in. My best job transitions have had a break in between; my worst were quit job 1 on Friday, start job 2 on Monday.