Hey. I understand how you feel. If I were in your place, I'd say something along the lines of-
"Theres something I think I should discuss with you, although I'm a tad apprehensive about it. I don't have good coping strageties, and I resort to self injury"
Saying "i hurt myself" would personally make me feel a lot more uncomfortable, I don't like the sound of it.
Alternitvly, depending on where your scars are, you could just say

"Lets say, my coping methods are less then extraordinarily amazing" and show the scars...

Good luck, I hope things work out well for you.
You're being really brave, a lot more then a lot of us are.
(Me especially)
If you don't connect with your next therapist, then keep searching until you find one that is right for you.
<3 Bella