In hospitals they suggest elastic bands around the wrist and ping, when you feel like you want to harm yourself. Not sure if every hospital uses this method? Have seen a few do it and it baffled me till it was explained to me. I used to similar things years ago. Not deep cuts or anything. Just something to make me feel normal, for want of a better word. As if it took my mind off the anxiety. But I still have one long scar on my arm that never vanished. Nearly the length of my arm. Never imagined the cut was that deep. I may just be a bad healer. But to still have to hide it away from view. Because I never told anybody at home I done stuff like that. I call it a reminder of a mad moment.
I have had some past problems with self injury/self mutilation. It is definitely Anxiety in my case. I know what you mean about somehow, in some screwed up way it makes you feel better if even for a slight second. I still had the scars too and I had tried everything. This isn't an option for everyone I know but I eventually had to see a plastic surgeon for some scar therapy to take the scars off my forearms, wrists, and chest. Ask your doctor about some topical options. There are lots out there!!
Good luck, and stay happy!