Hi, you do sound really in tune with trying to work your way through things and having a plan in place is excellent!! Just allow yourself a little flexibility with that though e.g. there may be times when you really can't force yourself to do things, you might not feel like calling someone.......So absolutely a plan (!!), just a few back-ups in there as well though if you haven't already got some??
As for telling people/instructors about feeling/being depressed, I can understand if you feel it's a really personal thing you want to keep private. And you don't even have to tell your instructors all of it if you don't want to, in order to get a little extra help/support from them.
Even letting them know you feel really under pressure and overwhelmed by things might help.
But as long as you know that you shouldn't feel ashamed, embarrassed, weak, not good enough..........in telling people about how you're feeling.
But the lack of/need for pain when you're finding things hard (sorry if this is a "been there, tried it"!!), have you tried the less "damaging" sources e.g. wearing/snapping a rubber band or holding ice cubes??
It is really good that you're getting help though, and real respect for following through with that. Just try staying as open as you can be in your sessions. I know that may be really hard but one step at a time.......
Alison