when i did it out of depression, it was depressing, something i'd do once a day just to watch it bleed. not really sure what i was thinking then, i was 14.
after i started taking gaba drugs (ambien and ativan), i started self-harming much more frequently, and it was always anxiety related. it made me feel like i was in control of things. like, sure i feel like i can't control if someone else hurts me, but i can control me hurting myself. though i admit most of the time when i did it i was in the midst of a panic attack, looking for anything to make it better, and it usually didn't help a lot. the blood used to calm me down, but more recently, usually i'd just look at the mess i made and think, 'that was pointless, and now i have some ugly marks to hide for a month, great.' and then pop a pill and go to lala land :/ i'm almost certain the pills were the cause of the panic, though, and so indirectly the cause of the increased frequency of self harm.
but, actually, i found online that most self-harm is related to anxiety. i can't find the link now, of course

i'll post it if i find it again.
i've found CBT to be helpful for being more rational during the irrational panic, maybe you might find it useful?
http://www.psychologytools.org/download-therapy-worksheets.html