That's not really the way clinical depression works though. Letting yourself wallow in bona fide clinical depression is unhealthy because it reinforces neural structures that strengthen your depression, making it harder to get out of, and easier to relapse into later. There's also evidence that being depressed causes widespread cognitive impairment, and it's possible that those effects could linger (or at least ripple) after treatment.
In short, you want to stay depressed for as little time as possible. But if you're enjoying feeling sorry for youself, that may be something other than depression.