I've beaten the Capra Demon and the Church Gargoyle and now intend to go down into the Depth. I'm wondering what a good place to level up is before going against the boss.
One of the best places in the game to farm for souls that you could have access to is in Darkroot Garden.
The blacksmith near the church sells a key for 20,000 souls (expensive yes, but easily worth it) that you can use with a door in the forest. To get to the door you'll need to either deal with or run past the Titanite Demon that resides down the stairs from the blacksmith and deal with 4 or so bush monsters. Then you'll be at the door. BTW, next to the door is an illusory wall hiding a bonfire that will be very useful.
Through the door and into the trees are 4 Human enemies that respawn. The closest is a Sorcererr, the next closest in the trees is a Cleric with a mace/shield. Around here is also an 'invisible' rogue. He's about as visible as the phantoms you see when looking at a bloodstain. You also can't lock on to him (unless the 1.04 patch has hit already). If I'm remembering correctly there's also a one-time Invisible Knight enemy as well. Finally, on the other side of the trees is a Bandit (Spider Shield + Battle Axe). The first three give 2000 souls apiece and the bandit gives 1000 souls. There's nothing in between the nearest bonfire and those enemies, so farming them is a straightforward process.
Also, depending on how you draw them out and if you're having trouble dealing with them, you can lure them up the stairs towards the bonfire, but drop off the side and land on a narrow ledge. When they follow you, they'll just drop into a pit. Plus I'm not aware of any drops you'd be missing out on.
Honestly though, it's not the Depths that you'll have to level for. I think the boss there is one of the easier ones in the game and I've played through as both melee and magic characters.