Well, by listening to sad songs when you're sad you realize that you're not the only person to ever feel the way you do....I however don't listen to sad songs ever.....I find that no matter what mood I'm in Insane Clown Posse has a song for it......so I listen and soon enough I'm lost in the excellent insanity they so eloquently spit out of their pie-holes.....8)
I think if you listen to sad songs it will cause you to dwell on being sad. Personally I would get out of the house and go do something if I was sad to take my mind off of it. Taking my puppy for a walk always makes me happy because he gets so happy!!!