Yes, CBT helped for me, but the main thing was medication. If you are still depressed (and especially if you are having suicidal thoughts) it sounds like the meds you are on at the moment might not be working as well as they should.
Also, the key thing to getting the most out of therapy, I found, is not just showing up to the sessions, but putting in plenty of work/study by yourself between sessions. By work/study I mean going over the things you are doing in therapy, doing any exercises you are working on, reading some related books (there are some good CBT books available).
Also, don't be afraid to address with your therapist any other problems that might prevent you from getting the most out of therapy. Procrastination in particular, is very common for people with anxiety issues, as anxiety is a major part of/cause of procrastination.
Mindfulness Meditation is also worthwhile.