The most important thing I can think of when it comes to living with depression is to allow yourself to be who you are, and work with that, rather than thinking of depression as some kind of flaw that has to be corrected.
Our bodies and our minds are very good at telling us what we need to feel better - sometimes though they send out messages that come through a fog of depression and aren't very clear to see. My body likes to tell me it's starving and feels like I haven't had any food for days when in reality what I'm "hungry" for is human contact and something to make make my heart feel less empty.
What works best for me is to listen to these messages and to decide why my body is asking for what it's asking for, and to what extent to give it what it wants: for example, if I'm getting the overwhelming urge to do nothing but lie under the covers and sob for a week, it's probably because I've been trying to hide everything away and bottle it down, and I need to give myself an evening to lie in bed and put on some music that I know will let me let everything go.
The thoughts and feelings that come from depression are not bad or wrong, they are simply mental impulses that have taken a weird route through our brains before they are recieved. Instead of judging ourselves for having those thoughts, it's better to follow them back where they came from and see what can be done bout them.