You could start by saying that sometimes you think about harming yourself without actually saying that you've done it. That's how I ended up sharing with my T and marriage counselor, because I hadn't SHed in like 17 years, but was suddenly having urges. The fact that I'd discussed it already made it much easier to share once I actually did SH.

You could say something like you have trouble coping with your emotions in those situations and think about negative ways to deal with it, like turning it in on yourself. Then maybe he'll ask what you mean, and you can go from there. Or you could write it down/type it out and either hand it to him in session or else, if he allows out of session contact, maybe e-mail it to him before the next session.