When i have cut myself in the past (Which my primary doctor knows I do) I just call him first and he calls ahead to the ER to explain I am coming in to get stiched up.
This helps that I don't need to worry about getting locked in the psych ward and that they are already aware when I get there so I do not need to say to much.
When I use my primary later next week to have stitches removed he is very understanding and is happy that I can trust him. (about the cutting at least)