This is a very strange topic.
I have never self harmed severly enough to draw blood. Although I have tried, it's too scary cutting that deep.
It kind of makes you feel better, but it's pretty shitty and makes you feel worse in the long run. I tend to deal with anger different ways (unfortunately being a dick to my friends/girlfriend is one of them), but I have sat with my knife against my arm more times than I probably should have.
In the end it isn't worth it, involving other people like doctors just stresses you out i'd say. Maybe get a loved one or best friend to take care of you and help you overcome your depression.
Instead of cutting yourself, write a song about how you feel. Then you've made a song and it gives you something to focus on, making you feel better. That's how I deal with it anyway.