I don't know much about cutting, but I heard a theory once that made sense to me. When you cut yourself, your body releases a pain-killing hormone. That hormone also offers relief for your psychic pain.

I've also heard it suggested that you hold ice cubes in your fists as an alternative when you're tempting to cut. No idea if it helps or not, but it does seem like it might also stimulate the release of pain-killing hormones.