Perhaps the problem here is the paradox of choice. Everyone thinks that they want to have more choices in life (should I wear fur or diamonds?) but in reality, when we are given too many choices we often feel unhappy. I think that going Paleo is actually hardest for people who were doing okay on the SAD. If you were a 300 lb diabetic celiac with Hashimoto's, you would probably find it much easier to stick with Paleo/Primal or whatever would help cure you, and you might see fantastic results immediately that would help you stick with it. If you're like me, and just trying to lose a few vanity pounds or want less digestive discomfort, it's harder to stick with it when everyone else is eating the cakes and cookies and pastas that you were also eating with few ill effects just a short while ago.
To try to answer your question... if you don't have a glaring health problem that is a direct result of the SAD, then worry about your mental health first. You managed to survive this long without a paleo diet and the fact that you think about it at all puts you a huge step ahead.
Going further, I think you need to change your thinking a little bit. Be glad that you're able to survive the current toxic food culture - you're one of the lucky ones. If Paleo is just the last bit of optimization for you, then you can afford to "cheat." However, keep in mind that if you exercise your mental will power and stick with a strict paleo diet for at least a few weeks, then it will become easier (physically) to stick to. That's what I've noticed with myself - but then when I cheat a little my cravings come back. I try not to beat myself up about it, and just go back to eating healthily when I can, even though I know it is far from optimal.
The culture we live in is toxic. There is bad food everywhere, and it requires an enormous amount of will power to resist it, especially if you don't have a huge health incentive not to. I think of it like being a monk in Las Vegas. If we all stick it out together though, I hope that in the future we can change our food culture to not be so tempting, and then it will be easier for all of us.