Tremors are not normal, and may be from anxiety or side effect of medication. YOu should talk to your doctor about this...the cure is worse than the illness, and there are other medications to consider.
First, if side effects persist beyond the first two weeks, that usually means that the medication is not the right medication for YOU. Even if you didn't respond well to Zoloft, you may very respond well to another SSRI, like Celexa. 4-5 weeks of hellish side effects (as you described) is too long, since these side-effects are what are called "self-limiting" in that they should get better -- not worse -- with time. As for the tremor, if you didn't have before you started the Zoloft, chances are Zoloft is the culprit. I would discontinue this medication and talk to your doctor about switching to a different SSRI (and therefore avoid the withdrawal effects) and if that doesn't work, switch to a different class of medication.
Obviously the medication is not for you. I had simular side-effects when I tried Paxil CR, which was my first med on the lineup. I stopped it after a week due to this, and switched to Zoloft. I'm feeling fine now, accompanied by the Xanax. In the mean time, you should consider psychotheropy also to help cope with these catastropic feelings/symptoms. The medication will help, but it is not the answer. A lot of it is psychological and can be dealt with by means of cognitive theropy, in addition to finding the underlying cause to your anxiety. In the mean time, if the Xanax is counteracting the anxiety, stick to that. You can take a Xanax at anytime you feel necessary. Just stay aware of the doses your are taking, since the wise thing with Xanax is to keep it as low as possible to minimize physical addiction. Also, ask your doctor about Xanax XR. It's better, and will last throughout your day. Maybe it would be wise for you to see a reputable psychiatrist to help you find a medication that you are comfortable with. But try psychotheropy. It is the largest tool in getting anxiety down. Be patient my friend. This type of thing takes time, and trial/error. I hope the Forum M.D. can help you further. Good luck to you.
Note: I have no history of medical practice or training. This is strictly information based on personal experience. Do not take this as professional advice.
Thanks to everyone who repied. I made an appointment with the doctor and plan to discuss a medication change.