Try and tell her. I self harm and hide it all but my therapist knows I do it. She needs to know so she can understand how strong your emotions get for you and that this is how to try to manage them.
She'll have seen and heard it all before, sadly its probably classed as reasonably normal for people with depression and anxiety.
Try to remember, her knwoing doesn't take the option away from you but it does give her some crucial insight into how hard things are for you.
Hope I've not spoken out of turn
Good luck with it