I am in the process of switching from one medication to another as well. Your dosages are a bit different from mine but in my experience the slower the better. I say this only because it lessens the change of side effects but also it felt better for me. I was less nervouse about making the change. I found out that both of my medications came in liquid form and I am able to go down a mg at a time while going up on the new medication 2 mg. My Psychiatrist seems to really know the ins-and outs so to speak of the medications that I am on and currently changing to. If this change makes you uncomfortable talk to your doctor. See if you can go at a slower pace. Do what makes you feel confortable. When you are comfortable you will have less anxiety about the change.
I hope this helps. There are plenty of others on this site who are or have used Zoloft and Paxil. Take a look at some of the older posts as well. Some great advise has been given.
I would recommend withdrawing from the Zoloft before starting something else. I would also recommend trying Lexapro or Celexa before Paxil, but that's up to you. You might want to do some homework. The problem with starting one medication while withdrawing from another is you can't tell which is a side effect of starting the new one and which is withdrawal from the old one. You also will have a hard time knowing if the new one works if you're having a bad withdrawal from the old one. They are the same class of medication, so it could work, but they are also quite different, all the meds are, in how they affect any particular individual. I would do a slow taper off Zoloft, as slow as you need, just to see if it's going to be easy or hard, and then slowly work your way up on the new med once you've successfully quit the old. Just my two cents.