Is a sad christian a bad christian?

I'm a new babe in Christ, I use to be sad all the time. I use to cry alot and feel like going to sleep and never waking up. I did'nt want to die, but I did'nt want to live either. When I came to Christ that changed. I love my self and feel so much better about the life God gave me. I still have times that I feel extreamly sad and want to cry, the difference now is I can go to the Father and he will comfort me, but people say if you love God you should'nt feel sadness, you should rejoice in him, that depression is a sin. Well I don't really know if I am "depressed" but when I start feeling that sadness start of overwhelm me I pray and ask Jesus to help me through it, and through Jesus I do get through it. I rejoice in the fact that one day all the pain I feel will just melt away when Jesus