I write everything in my journals from poems, wordly thoughts, struggles and special moments. It's always on hand so I can write something down if I need to and once I have, I feel a whole lot better. People always say that if you're worrying about something, you should write it down and although it doesn't solve the problem completely, it sure does help (along with a cup of tea!)
Suffering with anxiety often means that I feel a loss of control and by writing what I'm thinking down, I can come to a conclusion and feel relaxed. In a similar way, if my depression is becoming too much, writing what I'm feeling reduces the pressure that I feel.
It's not just journals that I would recommend keeping, but also a book of achievements, as I like to call it. I bought a cheap exercise book off eBay and have filled it with my achievements/best moments of 2015 and at the end of the year, I can review it and see how far I have come in my recovery. I also did this in 2014.
Both of these have helped me immensely and it's amazing to see the differences I have made. Why don't you give it a go?