Great topic! When I do CBT with patients, I like using a downward-arrow or "what-if" technique in order to get to the underlying self-defeating beliefs/depressogenic assumptions. Start off with a daily mood log or 5 column sheet, and have the patient identify their negative automatic thoughts that led to them experiencing their negative emotions. At this point, I'd invite them to identify the negative thought that was most painful/significant for them, and use that as the springboard to delving deeper. In using a downward arrow technique, have the patient start off at their negative thought, and ask questions like "if that were true, what would that mean?" etc. If you run this type of questioning to its conclusion, you'll often help the client reach the point of identifying their depressogenic assumptions.
As far as level of transparency when working with patients, I personally like to be pretty open about my hypotheses regarding things like this. I'd even consider having a print-out of the depressogenic beliefs, including things like
"in order to be happy, I must be successful in everything I do," or "If I make a mistake it means I am inept," etc. I believe Beck traditionally had 6 of these, but there are certainly more that can be considered in this vein. As far as openness goes though, I'd say that's a personal decision dependent on your style as a therapist and the type of work you're doing. There's no right or wrong answer; though, here in grad school, the right answer tends to be whatever your supervisor tells you to do.