I tried cutting myself, it didn't really give me the same sense of relief as hitting myself with open/closed fist does, I guess because I don't feel as hurt as I think I should.
As said above, usually it's a cry for help or (in my case) the intense urge to deal with mental pain. I usually SH as a form of punishment, for making everyone around me miserable.
I get doing it to feel something, it's about the only time I feel really at peace with the world, I don't smoke (anymore), but damn do I want one after. I've heard rubber bands are a good way to help ween off SH if you ever desire to do that, but I completely understand if it just doesn't give that same release.