I can tell you that at almost 37 years old and being a fireman for 10 years, when anxiety hit me it messed me up big time. I wish I could go back in time and not waist all the moments that I missed. The fear cycle is what you have to break. I went from heart attack worries to ms to ALS to stroke to brain tumor to everything you can think of and back again. The end result is that I'm OK and anxiety really can mess you up, but only if you let it. The craziest thing is that anxiety can cause almost any symptom that you can read about, so don't even let yourself go there. I'm a medic and have some decent knowledge of the physiological stuff that happens to . I'm still truly amazed at the power of suggestion when paired with anxiety. I was throwing Dr's for a loop. Remember, your young, and resilient and very capable of getting on with your life. When anxiety hits you, breath. Steady nice breaths. Take that moment back from anxiety and own it. It's not about control of your life, it's about control of your response to life. Your body wants to freak out, okay, but you decide you just want to breath. It may take a little while but once you get through it and you see the light at the end of the tunnel, it will get better from there out.
Anxiety absolutly can lead to depression. Anxiety and depression come hand in hand. Therapy is great, and maybe consider medication. Medication combined with therapy can be a really powerful treatment for anxiety/depression cause medication will lessen the symptoms while therapy helps get to the root of your issues and builds you back up.
It definitly sounds like you have anxiety and you do have signs of depression such as the snapping at people, and feeling week and in a fog. As for the cutting, i understand that at desperate times it seems as if its th only thing left to do becuase i cut too. But try and not do that, becuase later in life when you heal and you become the happy and healthy person you are suposed to be, you will wish you didnt have those scars. You can fix the emotional scars, but the physical ones will always be there. Something that helps me is if i put a rubber band or hair tie around my wrist and whenever i feel like cutting i snap it on my wrist. It gives a similar feeling but it doesnt actually hurt you,