That's okay because a lot of people just sit on the sidelines and wallow in their misery rather than act. The important thing is you are acting and because you have started down the treatment road, you will get better. Talk to your therapist about their plan for getting you over these thoughts. Also, medication is an option but that would be for you and your therapist to discuss.
Oh no...you absolutely did the right thing. We can only suffer in silence for so long. Along the way we do develop some coping skills, although cutting should never be one of them, but at a point it just becomes all too much. There is never a case when you have told a therapist "too much." Remember they can't help fix what they don't know is broken. There isn't a person on here that wasn't embarrassed to say something but what I realized is that they have heard it all before and then some. You simply cannot surprise a therapist with what you say because they have already heard it from somebody else. Is your therapist teaching you cognitive behavioral therapy? Controlled breathing? Replacing negative thoughts with positive ones? Self-Coaching?