I agree with China Doll and Boo, it sounds more like a cry for help than a genuine wish to kill himself, however, that doesn't take away from the fact that he may genuinely be suffering from depression at the moment.
It must be really hard for you to listen to a friend talk this way, don't worry about whether or not you are saying the right things, it sounds like you are doing all you can to be there for him and nobody will expect you to do more than that. I know that it can be very frustraing when friends act this way because it demands so much of your time and efforts in worrying and checking that their okay, so awful don't feel bad if you find yourself getting p!ssed off with it. It's natural.
As long as he know you are there for him you are doing enough. Try to dissuade him from becoming to dependant on you though and don't be afraid to tell him how you feel about what he's doing either. Perhaps suggest he revisit a doctor or a councillor?
Good luck with tonight and with all the times you try tohelp him. Like others have said though, however bad he may get it is his depression, it is nothing that you are saying or not saying or doing or not doing.