acethespace-bear: I can understand where you're coming from because I've been there. It took a few years of therapy and big gross scars on my wrist for me to actually stop. I did it to feel SOMETHING, anything besides what I was feeling. Stick with the therapist and try other techniques, when you feel like you need to punish yourself, take a time out, don't watch a TV show that you love, or give up something tangible instead of cutting. Just keep telling yourself "I'm not going to cut anymore."
My issue eventualyl got better as I gained more knowledge in therapy and started dealing with my anxiety issues upfront.