Try changing your therapist.
If she isn't helping you, you need to find one who can. No shame in it, the relationship between a person and their therapist must be based on trust and honesty for therapy to have any chance to succeed.
It sounds like either you don't trust her, or she doesn't believe you are being honest with her. It could be both. Or it could be her technique is not right for you.
Do not worry - it happens.
Therapists are people too, and sometimes you just won't get on together.
Did she teach you the stress breathing technique yet? If not, click the link. It is surprisingly effective in controlling anxiety and panic attacks (rage too). It'll also act as a decent replacement for the cutting, because you are gonna stop that sh*t right now, OK?
There are other ways to let out the pain and to confirm you are real.
I have an anxiety problem too. I don't know if it helps, but from my experience most therapists and psychiatrists are trained in a very... medical way. It could be a medical problem (mine is) plus external factors. Usually it's a combo. If medical you need meds asap. I used to get panic attacks before getting my panic meds and luckily I don't get them anymore. The meds will help you a little, but psychologically the advice they give will vary in helpfulness -- if complicated there is nothing they can do [I have diagnosed my problem just recently, by reading Kant. It's called misology. I had no idea there was a name for it...].
Breathing is useful BUT if having a panic attack it is impossible to try breathing techniques (from exp) because you are dizzy (whole room swimming!), covered in cold sweat, heart racing, etc. Try getting some meds to help then trying out some breathing. I find that Bach helps too, but that's just me.
MM and Lorraine are right. You need a new therapist ASAP, no matter how long you've been with this one. I've always been a worrier but my anxiety spiraled out of control in the last year or so. I didn't feel like myself at all and I didn't know what was happening. I got a psychologist and a psychiatrist who get me, and I'm doing so much better.
Go to the APA and use their locator to find psychologists in your area. Call them up yourself and get ready to explain your problems a few times until you find one who you feel a connection with over the phone; then schedule and appt to check things out. Be clear that you want to see if this is a good fit; if they're any kind of professional they'll understand.
Give meds a chance if your new docs think you need them, and it sounds like you might. I was against it at first, but my life changed! OMG I feel like a normal person again. Meds aren't the entire answer, but they give therapy more of a chance at success and can help cub self-destructive behaviors.
While you are looking for a new therapist, try and find one that specializes in CBT, cognitive behavioral therapy. It is simply wondrous in anxiety related problems, and what it does is help you change the way you think so that your anxiety decreases. Most of our anxieties stem from thoughts that are also known as fears, and if you notice, most of the stuff you worry about happening doesn't actually happen at all. Actually "getting that" and seeing that manifest is what helps make the anxiety go away, and thats what CBT does. I like to use the acronym FEAR, to represent, False Evidence Appearing Real, because most of our worries are just that. FEARs that have no basis in reality. Studies do show that the urge to cut lasts about as long as the urge to have a cigarrette,if you've never smoked, that number is around 2-5 minutes and varies from person to person. If you can get over that period of time without cutting, one moment at a time, that will help. Pick up a behavior to replace it with though, and I would suggest journalling. When you get the urge to cut, write down EXACTLY what you are thinking (i.e. my boyfriend didn't return my text that must mean he's breaking up with me), where you are, what you are feeling, and why you think you need to cut. It's also a good idea to write something positive that negates the yuk you wrote down, alternatives to your worries (i.e. maybe my boyfriend didn't text me back because he's at work and isn't allowed to text me right now) By the time you've vented it out on paper (or your medium of choice) the urge should have subsided. If writing isn't your thing, use FB notes to vent out stuff, MySpace blogs, or even a Twitter update, whatever it is that will work for you, just DO something to replace the behavior for just a few minutes and keep that journal or log to show your new therapist. :) Also there are some very good support groups on FB for just this sort of thing if you can't find anything in your area. Good luck!
I suffered/still suffer from anxiety. There are times when it's really bad and there are times were I'm handling it well. It's worse when I am feeling depressed and low. I used to be on medication and I have tried CBT. I would definitely recommend CBT. The best advice my doctor told me was to exercise. I know it sounds really simple and i was a bit sceptical at first - but it really worked for me. It can lift me from the blackest of moods. If i have something coming up that i know can trigger an anxiety attack (ie presentation, interview, meetings) - i make sure i do cardio to release all of that negative nervous energy i have built up inside me. I try to do some form of exercise each day, i make time for it and it has really helped me feel more positive about myself and I feel like i am more in control of my body rather than the other way around. I also keep an eye on my caffeine and alcohol intake as these tend to trigger my attacks. Having a good stable diet is important. You should maybe speak to your doctor about the many different ways to overcome your stress and anxiety and explore the right option for you.
Listen to everyone here- and heed their advice. A few additionaly things from someone suffering from OCD (a manifestation of severe anxiety) DON'T ACCEPT THE ANXIOUS LIE THAT THIS IS WHO YOU ARE. Your brain has biologically rewired its self to think this way. It can be undone, but don't think you're necessarily this way for life. I am a type B personality who has developed anxiety due to trauma- but it's not who I am it's a condition I am overcoming. Also, get on an SSRI. This will help you to control the urge your brain will have to stress out. This will also help you to biologically rewire your brain from stressing out. I am on St. John's wort- it is natural and prescription free. No risks involved- just more mental calmness. Lastly, go easy on yourself. There is no perfect timeline you're on- just go out of your way to intentionally love and take care of yourself and think back to who you were before the anxiety. good luck.
While I believe St. John's wort can have significant benefits, I just want to point out that there ARE risks involved. St. John's wort is not only a blood thinner (it affects clotting factors in your blood), but it also interferes with several other medications. It DECREASES the effectiveness of birth control pills and should never be used with prescription anxiety or antidepressants. You should always talk to a doctor before starting, especially if you are taking other medications.
ALSO- I would avoid any sort of sleep meds they might give you. Though my anxiety definitely causes insomnia- I tried ambien and it made me cut myself. I woke up one day with scars and blood everywhere, not having any idea what had happened. Ambien can trigger severe depression, and in people like us who already have these issues- it can be absolutely DANGEROUS. Just a warning.