THESE are not cheery days on the good ship Democrat. After 40 years of dominance in Congress ended last November, the party of Andrew Jackson seems adrift. First there was a spate of party switching: Five Democrats in Congress have become Republicans recently, and more are expected to follow suit. Now the problem is retirement. Many of the Democrats' old bulls are giving up. Last year, Oklahoma Sen. David Boren and Senate majority leader George Mitchell decided not to run. Last month, New Jersey Sen. Bill Bradley announced he wouldn't seek office in 1996, and cast himself as a possible independent presidential candidate. At press time on Sept. 5, Sen. Claiborne Pell of Rhode Island was expected to call a press conference announcing his retirement. In the weeks ahead, expect more such press conferences. Sens. John Glenn of Ohio and Sam Nunn of Georgia reportedly are not raising money as quickly as if preparing for a reelection bid. Although this desertion gives the Democrats an opportunity to redefine the party, that's little consolation at a time when the GOP is marching their agenda through Congress and even President Clinton has been rowing hard to the right.