There are sometimes doubts about whether or not you should tell anyone about your self-injury. It's often very hard to come forward and talk about it with other people, especially when you are not sure whether or not they will really understand. Voices of those who self-injure can also provide you with some information, but really, everyone's situation is different. Same goes for the decision of whether or not you wish to stop. Strategies to stop self-harming by Brandon (another really awesome guy) is definitely a must-visit site, or even if you harbor any sort of ambivalence toward stopping.
I will be the first to admit that it is definitely difficult to stop SI, and went through periods of time where the prospect of not cutting was unfathomable, even impossible. But as I and countless other people can tell you... if you really want to stop, as hard as it might be, it is definitely possible. I've already gone well over six hundred days. Other people I know who used to self-injure have managed without it for years.
If you are having urges to self-harm RIGHT NOW, I encourage you to call a trusted friend or therapist, or do something to distract yourself. If mere distraction is not effective, it is important to assess why you want to harm yourself, and do something else to serve that purpose. Nothing ever feels as "good" as self-injury, but finding something which works almost as well is the key.
For example, if you are angry, you might instead try throwing ice cubes into your bathtub. You won't damage yourself, or anything else for that matter, and there's no cleanup afterwards. If you are having trouble handling stress, some relaxation activities might be a good idea. (I always used to bake when I got stressed... but this is not something I would recommend if you are prone to burning yourself.) If you wish to see blood, try taking a red magic marker and drawing on yourself instead. Kel's alternatives page has tons of other ideas on how to cope with urges to self-injure.
For treatment of injuries already there, it is absolutely essential to know basic first aid. Infections, broken bones, and loss of blood are especially serious potential consequences. Going to a hospital for treatment of self-inflicted injuries may be awkward at times due to the stigma of SI and the fact that they may recommend psychiatric evaluation, but use your good judgement. If you have even the slightest concern about needing to go to the emergency room, it's better to err on the side of caution.
Special: Coping With the Attacks of September 11