By writing down thoughts and identifying the which forms of "bad thinking" are in each thought, you become an expert at how your brain is affecting your mood. Often it's not your actual life situation that's causing the depression, it's the constant negative thoughts about the situation. By using a tool like CBTReferee [iTunes link]
you can treat the real problem: the thoughts.
A lot of people do not want to write down their thoughts. They try and do the training all in their head without commiting anything to writen words. This rarely works. It's the act of writing the thought down and capturing it in a form that you can study later that's so important.