Eventually they will find out. Relationships usually lead up to sex and you don't want him finding out like that. If things are really serious and you trust him, then maybe try to explain it. I'm not sure how much you have told him or what issues you have that make you want to cut. Eventually you should tell him. He should understand why you do it and what it does for you or did for you. It will be less confusing to him if he knows why.

I hope things work out. Maybe talk to your counsoulor about this before you tell him. Maybe do some role playing so you know what you will say.