Hello, by no means a medical expert here - I have recurrent depression and am currently taking ADs and breastfeeding, so I'll try to help!
I wouldn't be happy taking ADs for a month and then changing - they often take 2-3 weeks before you start feeling better anyway, so I can't see the point. You'd then probably have to come off the seroxat gradually before you could start taking something else. Did your GP tell you why he wanted to do it like this?
There are several ADs you can take while breastfeeding, and I'll find you some helpful links if you want.
In terms of natural alternatives - you shouldn't take St John's Wort while breastfeeding, but you also shouldn't take it at the same time as any 'conventional' antidepressant, so don't take it with the seroxat even if you stop breastfeeding. Other things you could try are a B vitamin complex, or fish oils. Reflexology is meant to be quite good - I've never tried it but a friend has offered to treat me so I will be soon.
Has your GP put you on a waiting list for any counselling or talking therapies? IME you get seen quicker with a baby - I waited 10 months for counselling once before, but I'm now seeing a community nurse once a week and having cognitive behavioural therapy.
If you don't want to give up breastfeeding, don't be pressured by the GP - there are plenty of ways forward. My GP wasn't sure what the best thing was for me to take, and referred me to a psychiatrist at the local hospital. It sounds a bit scary, but they have been very helpful and I think I'm finally getting some long term strategies to beat this - after nine years!
HTH a little, let me know if you want any of the stuff I've found on ADs and breastfeeding - and most of all I hope you feel better soon.