It's a grey area. Pinching is a form of self-harm for some, but whether you are doing it in that way, and whether it has done damage to you is another story. You say your arms are quite scarred from it, so that seems like you did do damage, and you do it in times of distress, which tells me it's a self-harm thing. Self-harm doesn't necessarily have to be some extravagant act of self-mutilation, as long as it's harm to one's self, and for all the wrong reasons, then baddabing baddaboom, you have self-harm. If you think about it, a huge amount of us self-harm - we get tattoos, we pierce our bodies, women wear horribly uncomfortable shoes, etc. So you see, it's not just what you do, it's how you do it, and why.

I would nip this in the bud (excuse the sneaky pun) before it elevates to something worse. Granted, there are various levels of severity, such as someone hacking limbs off with a spoon, or someone slapping themselves silly, but either way, it's harm to one's self. If ever you are curious about whether something you're doing, is considered self-harm, ask yourself the following questions:

1. Does it hurt?
2. Does it damage my body?
3. Do I do it when I am feeling negative emotions?

And remember: it is never OK to hurt yourself, even "superficially" (such as lighter forms of pinching, scraping, self-verbal abuse, etc), as a result of negative emotions or thoughts. Much in the same way I shouldn't seek reassurance for my OCD, you shouldn't play bubble-wrap with your body; they both seek only to strengthen the very problem itself, making it harder to deal with. You should tell your therapist about this pinching thing; it's important. The road you're going down, is a bad one, because you are inadvertently teaching your mind the association between pain/harm and negative thoughts/feelings. As my psychologist happily showed me today, our minds can be very flimsy; easily manipulated, given the right variables.

I went through a similar process, only for me, it was punching, which only led to worse. I taught myself that emotional pain, must therefore equal physical pain; this turned into habit, and eventually addiction, of which I happily kicked, without professional help, 4 or so years ago.