just to offer up another anecdotal experience:
i took zoloft for about 7 or 8 years. then i switched to lexapro for a year only because i had gained weight and wanted to try something different since i had been on zoloft for so long. i should have just stuck with the zoloft. but i will get to that in a minute.
when i started the zoloft i went a full 5 weeks or more where the anxiety was even worse than it had been before. i am not sure why i stuck it out, but i did consult my doctor several times and he reiterated that it often takes as much as 6 weeks to truly kick in. fortunately i listened to him this time and gave it a chance. 5 or 6 weeks is an eternity when you are going through severe anxiety. but at around the 5 week mark, when my dosage had been increased to the max 200mg/day, it kicked in almost all at once and i realized i wasn't anxious every moment and i couldn't even give myself a panic attack if i tried. it just got better from there. for 7 or 8 years while i was on it i didn't really have any panic attacks at all. i could still get nervous or anxious in certain situations, but it was under control. the reason i started taking it in the first place was for both OCD and anxiety. i also was not so stuck on thoughts like i had been in the past with the OCD.
anyway, i switched to lexapro a little over a year ago and didn't have any issues with the switch. it was seemless. in retrospect i wonder if this was because the lexapro wasn't strong enough for me (no pain no gain, right ;-). but this May i had kind of a relapse and came to the conclusion the lexapro just wasn't strong enough for me or wasn't working on the right parts of my brain (even though it's an SSRI there are subtle differences between all of them that aren't totally understood). so i switched back to zoloft. the transition was rough for about the same 5 or 6 weeks. and each time the dose was increased the anxiety peaked for several days. so clearly zoloft has a very strong impact on me. but the benefits, once it starts doing it's job properly, are worth it. this time those 5 weeks or so weren't quite as bad as before because i kind of expected it and had hope that if i rode it out it would work again for me. and so far it has.
so the bottom line is that zoloft, and probably most of these drugs (like drugs of all kinds), have an odd tendency to make the problem they are fixing worse initially. and again, a month is an awful long time. but i would seriously consider trying to give it , or some other SSRI, that period of time. if it's still not helping after 6 weeks i would then try something else. because again what works for one person soemtimes doesn't work as well or at all for someone else. it's a rough process trying to find the right medication, and it takes a while. but once you do it's totally worth it i think. 6 weeks is relatively short when you think of it in terms of being happy for years to come.
just my 2 cents.