How do you make your feeling of sadness go away, without getting on pills?

Breathe in, look up. I think it would be hard to live in this world and not be sad on occasion. So much loss, pain, heartache. So many people struggling. So much uncertainty. The key to emotion is to experience it and move through it, energy in motion as it were. When you're feeling down, breathe into it, feel it, then look up, around, count your blessings. Don't focus on what can't be done, do what you can do.
Sadness. Find a reputable psychotherapist to discuss what sadness and anything else that bothers you means to YOU.
Is function an issue. Dr. Kirschner had an excellent response. However it you are consummed with sadness and find that you have a constellation of problems with sleep, appetite, concentration, energy level, self esteem, memory - then consider professional consultation. Cognitive behavioral therapy can be very effective. Acupuncture can also be used to treat depression.