Psychotherapy plays a very important part in the treatment of mental illness. For those who self harm, psychotherapy can be very beneficial.
Two major therapies for treatment of self harm
Cognitive Behavior Therapy
Dialectical Behavior Therapy
Cognitive therapy involves changing your thought process, thinking more positive. It is the most well known form of psychotherapy.
Dialectical Behavior Therapy had proven VERY effective for helping with self harm. The therapy is split up into to separate parts - individual therapy and group therapy. Group therapy involves learning coping "skills" and individual therapy time is used to discuss incidents of self harm and to plan how better to use the newly learnt skills to deal with those difficult times. It is worth asking your doctor about DBT. It can be very helpful.