Changing SSRIs

My counselor suggested today that I see my doctor about changing medications. I've been in a very, very dark place for several weeks and I know that can be a side effect of Celexa sometimes. (I've used Celexa very successfully in the past and my husband still does, so I'm not trying to scare anyone who takes it!) I wasn't having any issue with these thoughts until about a month after I started the Celexa.

While I definitely need to correct whatever is contributing to this thinking immediately, I'm anxious about changing. I remember stopping Celexa the last time as causing terribly painful headaches. I've already had a constant headache that Excedrin won't touch since Saturday. The thought of making that worse makes me a little queasy.

So, my question is this - does changing medicines require slowly weaning off of one, then waiting for the next to build up? Are the withdrawal symptoms as severe if you're just switching and not completely stopping SSRIs?

For the third week, she suggested that I go into inpatient treatment.

I'm feeling pretty discouraged/defeated... I've gotten the panic attacks down to only 4-5 a week and now this depression is overwhelming me.

I'm pretty scared of the panic attacks going back to the all-day version if I stop the Celexa. I cannot handle that on top of the depression!