"It's a bit different with the cutting though because it makes him mad".
I'm only guessing, but I'm not sure it's how you think it is. Sorry, it's early morning here and I've got a stinking cold, so apologies if this doesn't come out right.

I have a very good friend who was in an abusive relationship. Despite the hurt she felt when he rejected her, and despite my pointing out the (obvious to me) damage he was causing, she kept going back to him and kept getting hurt even more. Each time she went back I felt frustration with her. This can easily be perceived as anger, but really isn't.

Frustration comes from wanting to understand, wanting to help, but not knowing enough about what the other person is feeling to be able to. You fiancée loves you, wants to protect you, care for you. If someone/something else was harming you, he would know what to do, he would know how to change things to protect you from them. In this case, you're doing these things to yourself and he doesn't know how to protect you from yourself and that frustrates him.

Could you call a councillor/therapist or something and ask your fiancée to come with you? He obviously knows because it makes him 'mad', so tell him that part of you wants to do it again, but most of you wants to stop it for him. Tell him that you love him and you'd like his help and understanding and you want to banish these feelings with his help. A professional in this area may be able to explain to your fiancée what's going on and give him the tools and understanding to support you without getting frustrated/mad.