sad people should not be friends with one another. you will wallow in each other's sadness. if you were a real friend you would make the extra effort to lift your friend out from their pit of despair. take all that energy you're putting into being sad with them and use it to help. and the other person should be a real friend and accept the hand up. help one another and stop being so self involved.
the easiest way to help is to be an example... don't be sad. and when talking to them you don't have to go over every pitiful detail of why they are sad. talking about it will make them and you sadder. get the main idea if you want and then release it. forget about it. it's gone. and don't stuff it under a rug... accept that it happened and forget about it.
sadness is like a drug. you'll get addicted to the strong pain and emotion it brings. it's almost exciting. it surges through you and you can feel it. use your friends as a distraction from it, not as a way to stimulate it. don't be so self-centered and manipulative. think about how your sadness will make them sad. don't use them to get sympathy and attention either. oh i know your tricks. you hurt those around you to get what you want.
i will say it again... sadness is for the self-centered and the self-important. try caring about someone else for a change and you'll see that you like that feeling even better.