When should I see a doctor for my depression?

See your primary. Depressed mood may or may not be the illness of major depressive disorder. Your primary care provider can rule out common problems like thyroid disease and refer you for further treatment if indicated. The more severe the symptoms, the more likely one will benefit from antidepressants. Psychotherapy can also be helpful especially if the symptoms are milder.
Treating depression. I believe that psychotherapy is the first activity one should engage in when depressed. If the depression is mild, therapy can treat it. If it is long-term or severe, your therapist will tell you that medication is warranted. The best results when treating depression quickly include both counseling and medication.