I used to buy big cigars and burn myself with them. I think I was on the wrong medication, in retrospect. I don't hurt myself these days, but I also think it's important to say that I never hurt myself before being put on certain medications.
I can't imagine a more destructive self-harm than hurting one's head. As my fellow mod said, it would be prudent to find a more constructive way to take out your frustration. Going for a jog, or even sprinting for as long as you can--until you're well out of breath, would be a helpful way to get out some energy and anger. I wouldn't recommend you hitting something that can hit back, though. Boxing is a pretty dangerous sport. I don't even think you need a punching bag, just a pillow. But I'm pretty sure that if you hit something when you're mad, even if it's an inanimate object, research shows that it sets you up to be more violent in general.
Another idea might be to do a bunch of crunches/sit-ups or push-ups when you feel that intense anger.
Apart from exercising when you feel like hurting something, talking with someone to get to the core of the issue would help. Therapy is woefully underutilized by the mentally ill because it takes work. It's so much easier to pop a pill and, so I've heard at least one person say to me, say that their disorder is biological, and that talk-therapy can't help.
Talking about one's problems can be very painful. But exposing what's really going on is really the only way to change behavior to an ideal extent.