Ruth Ann,
It is unclear if you had itching prior to starting treatment with Zoloft. It would be unusual for Zoloft to cause chronic itching. I urge you to discuss your concerns further with your treating allergist, dermatologist, and psychiatrist.
I have been on and off Zoloft a couple of times. It didn't really alleviate my depression directly, but it did help attenuate my anxiety. I just started it again recently, but I don't think I can put up with the side effects just for the minor anti-anxietal benefit.
One side effect is extremely itchy skin, absent any rash or other obvious cause (until I scratch enough to make it red or raw), and I'm only at 50mg right now. I have had problems with itchy skin (but not necessarily dry skin), and the Zoloft just makes the problem much worse. A few other AD's have also made the itching worse (Prozac for one). Your itching might subside over time after you discontinue the Zoloft, but you will have to weigh the benefits against the side effects before discontinuing or trying another.
In my experience with with many AD's, many of the side effects are not documented in the monographs, but then I find out I'm not the only one with a particular side effect after reading anecdotal evidence from other people who have expereinced the same thing.
The other side effects I've had from Zoloft are excessive sleepiness (even worse than usual), and lower GI distress (gas, irregular movements).