Glad to be of service, and I'm happy to give more advice. I strongly recommend that app, as it's been immensely helpful to me. Not just the sound, but if you've got a bit of imagination, it helps with conjuring more peaceful mental imagery. The other post I tried to put up contained the more depression-relevant information.
First thing was getting any negative thinking (or any thinking that's keeping you up, really) out of your head. If you have a confidant you can talk to when you're thinking stuff that's stopping you from sleeping, make full use of it. If not, write it all down. You can rip that up or burn it in the morning if you don't want to look at it any more, or are concerned someone will read it. If you're down, talk it through or write it down. If you've suddenly remembered this great pancake recipe you used to love, make a note to look for it the next day. Whether what you're thinking is good or bad, getting it out of your head will make a surprising amount of difference. That said, if you've been stuck with things swimming around in your head for a long time with no outlet like I was, this won't be a quick fix. You could go for months poking your confidant at night with your worries, or scrawling pages of stuff into the wee small hours. But over time that backlog will ease, and you'll have a more manageable amount of thoughts to expel. In conjunction with some of the other stuff I mentioned, though, it's worth pursuing as a more long-term thing. It's been invaluable for me over time.
Possibly the most important part of this is introspection and decision-making. Depression tends not to exist in a vacuum. There are things that happen in life that cause and/or exacerbate it. It's good you're seeing a psychiatrist because they can help with this: identifying the factors that are contributing most to your depression, and working out what you need to do about them. Sometimes this can be a crazy hard decision like leaving a partner, sharing a secret, quitting a bad job. But knowing what's wrong and what you need to do are big steps in recovery and in being at peace with yourself enough to sleep, and each step toward whatever your goal is will help with that, especially if you keep track of your progress (I keep a "done" list, as well as a "to do" list, which has been really helpful). Again, these are long term things, but well worth it and I would still be utterly sleepless without having taken those steps. Hope you get something out of them, too.
