You are right, depression is far more severe than sadness, it is a lot more debilitating and worst - it kills.
What's confusing is you may find these two words interchangeably used to define each other.
Sadness is actually an emotional state of mind that happens to all of us rational beings.
Some Reasons for Sadness Could be:

• Loss of a loved one (death or painful separation)
• Loss of a pet
• Loss of a job
• Threatened to lose something with great importance
• All forms of change

All forms of losses could bring sadness especially those which has brought us comfort and security, material things or people who ushered us to the kind of life we have come to love.
Through the years, we have locked up ourselves in a comfort zone that nobody wants disturbed; It's the easier life we lived that's almost indestructible- at least that's what our minds embraced.
Although it could be wrong to embrace constancy, it is what usually happens because it is easier done than holding on to something that is inconstant.
It is so much more effortless to hold on to something permanent, enduring and without end.
But life doesn't work that way; change is what's unchangeable in this world- give in but know your limits.
These words are easier said than done!We all are capable of getting hurt, being sad and causing sadness to other people- it is inevitable.
Depression is the decision to stay in that state of sadness that's been clouding up on you over the years.
It affects the decision-making ability, the social and psychological aspects of life, concentration and proper functioning at home and in the community.
Who are at Greater Risk of Depression:

• Those who have history of mood disorders in the family
• Those who have lost both parents before age 10
• Those who suffer from repeated losses
• Those with history of sexual abuse during childhood

Signs and Symptoms of Depression:

• Having suicidal thoughts
• Chronic Sadness nurtured over the years
• Sudden loss of interest in sex and other activities which used to give you pleasure
• Unexplained fatigue
• Difficulty in paying attention
• Sudden huge weight loss or gain
• Insomnia
• Over sleeping

If you have most of the signs and symptoms listed above, you may considerconsulting with a trusted professional as it may impair your psychosocial abilities leading to isolation and in some cases, self-inflicted injuries or death.
If you know of someone with possible depression- share your time and get help, it is a serious problem that needs to be corrected.