CBT or DBT are the most common forms of therapy, relatively speaking that could be used for self injury treatment.

http://en.wikipedia.org/wiki/Self-injury#Treatment

CBT is about changing the cognitive distortions, or the way you think about yourself or your attitudes/behaviours.

DBT includes some CBT type stuff, but is particularly effective for those with borderline personality disorder or emotional regulation issues (I'd probably benefit from this at times, I can go a bit crazy).