Effexor is one of the more difficult antidepressants to come off of because of the withdrawal symptoms. Maybe you can speak to your doctor about coming off of it more slowly? Zoloft can take 4-6 weeks to take effect, but don't be afraid to use the xanax in the meantime. Xanax is meant for short-term use, so at smaller doses and for shorter periods of time.. there is little risk of addiction. You can also speak to your doctor about using klonopin instead of xanax. They are essentially the same medication, but klonopin's effects last a lot longer, so you need less of them.
Klonopin and Xanax are actually quite different medications. Xanax is probably better for this purpose, assuming it works, since it works much faster, whereas klonopin stays in the body longer but has a milder effect at first. The proper way to do this is to go back on the last dose of Effexor at which you felt fine, and taper more slowly, much more slowly. There is no guarantee Zoloft will do anything for Effexor withdrawal or that it will work for you at all since these are all so individual, so it's best to withdraw completely from the Effexor before trying something else. Also consider that if you're withdrawing from one drug and put on another, you won't know which symptoms are side effects of the new one and which are withdrawal effects from the former. If you want to see a good protocol for withdrawing, see the book The Antidepressant Solution by Joseph Glanville. And try some fish oil for the brain zaps.