Hi K.,
I can't speak about Zoloft specifically b/c I haven't been on that one, but I want to tell you that I was diagnosed with severe depression a day before I found out I was pregnant with my now 2 1/2 year old. My doctor put me on Prozac, which is not considered totally safe for pregnancy, but he explained to me that I was so depressed my body was shutting down (hair falling out, complete fatigue, etc) and this would do more harm to the baby than the medication. I was on Prozac the entire pregnancy, along with counseling, and my beautiful daughter is now 2 1/2 and healthy as can be.
I'm currently pregnant again and this time on Wellbutrin (I had switched about a year ago because it worked better for me than the Prozac). I've cut my dose in half from what it was while pregnant, but I was unable to get off of it completely.
I've finally come to the conclusion that although in an ideal world I wouldn't be on any medication while pregnant, my brain chemistry for whatever reason just doesn't work right on it's own. Like you, I can clearly see the benefits of me being on the right amount of medication. I can think more clearly, I'm a better wife and mother, I end up being able to take better care of myself with diet and exercise when I'm not feeling depressed, and all these things end up benefiting my baby and my other children. I hope someday to be able to get off meds altogether, but now is not that day and I have peace knowing that I'm doing the best I can with the cards I've been dealt. I hope that helps you.
BTW, I also plan to breastfeed while on medication, for the same reasons I've mentioned above. I talked it over with my doctor and he supports my decision.