It might seem like it would relieve the pressure but it won't. You can't replace emotional pain with physical pain or injury.

Harming yourself is a good way to end up in the psych ward for a few days, a better way to get yourself there is to go check yourself in, not have the Dr at the Emergency Room sew you up, then have you locked up "for observation"

And I have to wonder how many people who only meant to hurt themselves a bit, ended up doing far more. I don't just mean ending up dead, but permanent nerve damage, or cutting a tendon or something like that.