You can only get the token if you put a Dark Depths from play into the graveyard with no tokens on it. If you simply sacrifice it while it had tokens, you are not completing all the requirements for the ability to trigger.
October 12, 2015 3:49 p.m.
To be precise, you get the token only if you sacrifice it as part of Dark Depths's own triggered ability, as that ability is what gives you the token, and you need to fill the requirement to get the token. So if you remove the last ice counter, have it's ability trigger and respond by activating Arcane Spyglass, Depth's ability will do nothing on resolution because you can't sacrifice the permanent that created the ability anymore.