Studies have shown that people who self harm are more anxious and have lower self esteem,self harming is used as a coping behaviour to deal with other issues going on in their lives.
As wonder girl has stated,its having control,at least over something.
The biggest physical risk with self harming is the potential for infection.
Asking for help is the first step to overcoming self harming,look for help from a parent,or teacher.
You don't say where you are,but here is a web site...
www.childline.org.uk
There is a special line for teenagers who self harm.