In order to understand brainwave entrainment you first have to understand something about brain waves and electroencephalograms (EEG). Neurons are cells that communicate with each other through electrical conduction. When a neuron fires it creates a small electrical and magnetic field. These fields are far too small to measure by placing electrodes on the scalp, or even on the surface of the brain. The only reason we can detect the electrical fields of the brain is because many neurons are firing together – in synchrony. All brain waves that are measured by an EEG, therefore, represent a large group of neurons firing together.

For a little variety, you can use the 60 minute Delta Ultra Deep Standalone Meditation which takes you down into Delta and holds you there for an extended period of time. If you can stay awake during this entire time, you will have some amazing meditative experiences. (If you fall asleep, don't worry! It's natural and with practice you will be able to stay awake more often.)
I wouldn’t personally recommend listening to delta wave frequencies for depression, so I’m not sure who advised you to do that? People with depression usually have a higher ratio of theta and delta wave activity, so I would normally recommend listening to high alpha wave and low beta wave frequencies, to help balance things. I have some 10Hz alpha tracks for serotonin release, which you can try for free on my YouTube channel here: I also recommend you give these SMR (low beta wave) tracks a try: I hope that helps.
Theta waves have another interesting characteristic. The Earth has a measurable resonance of 7.83 hertz known as the Schumann resonance. Because the Schumann resonance is a constant background frequency surrounding all life, it may play a special role in biological activity. The Schumann resonance frequency falls within the range of theta brainwaves and may have something to do with why these brainwave frequencies are so powerful. 
The most common way to use a brainwave entrainment is for a short-term benefit, to help guide your brain into a particular mental state at the time you need it.  In a similar way to how you might take a sleeping pill before bed to help you get to sleep, or maybe drink some coffee or an energy drink to help wake you up and give you a boost of energy.

These tones are similar in that they pulse like binaural beats. The difference is that they don’t need to be listened to using headphones as the pulse, or beat, is not generated by two different frequencies. The sound is an on/off pulse. Although you don’t need headphones to seperate the frequencies listened to, they are recommended. I’ve had just as much response to isochronic tones as I’ve had to binaural beats. I’d try both though, especially if you don’t respond to one or the other.
Brainwaves, or neural oscillations, share the fundamental constituents with acoustic and optical waves, including frequency, amplitude and periodicity. Consequently, Huygens' discovery precipitated inquiry[citation needed] into whether or not the synchronous electrical activity of cortical neural ensembles might not only alter in response to external acoustic or optical stimuli but also entrain or synchronize their frequency to that of a specific stimulus.[16][17][18][19]