I have had depression for forty plus years, and have had some experiences with psychotic depression. Let me assure you of one thing--"they" will not put you away. I have paranoia also but it is part of the illness. No one can put you away because there are no longer public asylums for the 'insane' or mentally ill. All the places you can go for in patient treatment require insurance and lots of money, so tell your therapist everything you want. The worst that can happen is a three day hold at the local hospital, which is just a floor in the regular hospital, with TVs and magazines, etc.

Mental illness affects well over half of the people on the planet at some time in their lives. There is nothing to be embarrassed about or afraid of. Get help.