Hm, if you discontinue antidepressants that way, some weird ideation is very likely. If your doc doesn't prescribe sleeping pills to you, he must have his reasons. By the way, you may suggest switching to a different antidepressant... YOu may also ask anotehr doc and change if you want. You may search for a psychiatrist with experience of depression (if your current doctor doesn't fit the description).
But you may NOT practice do-it-yourself medications. It will do worst than no medication at all.

The best of luck