There is a difference between coping and self-medicating. Coping is any number of tricks or behaviors you come up with you help you mellow through a rough time. Self-medicating is doing any number of things to distract you from the rough times, and often leads to poor decision making.
(ETA: Come up with coping mechanisms that help YOU... on your OWN. If you start Googling, you'll come up with something like THIS bullshit article I found. None of that is helpful or recommended... exposure therapy should ALWAYS be monitored by a health professional.)
I've done my fair share of self-medicating, but I have turned to coping in the last few years. My self-medication started in my teens, when I began the traumatizing habit of self-injury (aka self-mutilation, self-harm, "cutting"). When I was overwhelmed or depressed, this is what I turned to. As I got older and had more freedom in life, living away from home, it turned into drugs and alcohol. Every once in a blue moon, I'd smoke marijuana with a friend or two, and let the subsequent giggles take me away from everything else for a while... sometimes I'd even take a prescription pain-killer, if they were available... but the real problem was the drinking.
I surely never thought of myself as an alcoholic, and I still don't... but I'm sure there were many people that thought that of me. Maybe they were right... I don't really know. I do know that when the choice came to pay my rent, or go to the bar- I went to the bar. I spent with no regard to my future obligations. When I needed supplemental rent money, because I hadn't saved enough, I turned to my parents. They were in no position to be doling out money to me, but I also know they wanted to see me succeed in living on my own. Was it enabling? Maybe. Did my mom consider calling the show "Intervention"? Probably, hahaha... and I wouldn't have blamed her. I was reckless in my early to mid-20's. Reckless and drunk and barely getting by. My fridge was always empty of essential things; I remember eating mini sweet pickles for dinner a few times. This was because I spent all my money drinking and none on groceries or anything. I shopped at dollar stores for the basics... soap, shampoo, toilet paper, laundry detergent. Sometimes, I'd run to my parents house for things like that if I really couldn't afford them. I never really looked back and found the true cause of this behavior until a few years ago.
I drank when I was anxious, nervous, stressed out, or depressed. It washed it all away, and lowered my inhibitions enough that I had a lot of fun. Granted, I always had to go back to "real life" the next day, but it kept me safe until then.
I was a self-injurer for nearly 10 years. Of all the "addictions" I've had, cutting was probably the hardest to give up. I could do it anywhere, anytime... Obviously, I could never drink at work, but if something was particularly upsetting me, I could sneak away to the bathroom and relieve some of the stress by cutting. It wasn't always cutting... sometimes it was superficial scraping, or puncturing the skin... but the pain took away the anxiety. I could feel the rush of it leaving me, like an adrenaline crash. My limbs would suddenly lose their tension and could feel the blood flow through my veins again.
I grew up in an era where "emo" and "goth" were starting to become a thing. A lot of people ran around touting "cutters" as merely seeking attention. I cannot, and will not, believe that this is the standard. I did my best to hide my secret from people... I didn't go around bragging about it, or showing my wounds. After a while, it became such a habit that I didn't care if people saw it or not. In fact, one night, I did it right in front of someone. It upset them and they held me and cried, but I was so numb to everything around me that it didn't matter.
I never cut to scar, I only cut to feel. I actually tried not to scar myself, but sometimes, it doesn't really work like that. I have a few scars to this day, 15 years after I first started, and it's always a reminder. Eventually, I'm sure they will get covered by a tattoo, but I will make sure they are covered with something to remind me that I can cope with the mental stress without hurting my physical self. The covering with be symbolic and beautiful. I can't change what I've done, and I cannot pretend like it never happened, so I will celebrate the person it has turned me into, and celebrate the ways it's made me see my life now.
How do I cope now? Well, now I have Xanax to help me through those rough moments that appear out of nowhere. Before the Xanax, I would step away from the situation and just go take some moments by myself. Go outside and get fresh air, go in the bathroom and take some deep cleansing breaths, go out to the car and listen to some calming music... I'm an anxious fidgeter, so I shake my leg a lot... doesn't seem to help, but it is a pretty good indicator that I have to get up and change what I'm doing, or take a pill or something.
Breathing is a good way to help deal with things. Learning what breathing patterns are the best for you is something you have to figure out on your own. Look up videos on YouTube of yoga breathing, or even Lamaze breathing. Sometimes regulating the amount of oxygen to your brain and opening up all your little lung capillaries can make a huge difference in how you cope with your stress and anxiety.
Most of all, remember that there is a pretty fine line between anxiety/depression and suicidal thoughts. I never cut myself in order to end my life, and it was never my intention, but I do remember moments where I thought it would be easier if my life were to end. If you are having ANY thoughts of suicide, be them momentary or serious, please call the National Suicide Prevention Hotline at 1-800-273-8255. The call is free and discreet. The staff is trained to best assist you in overcoming these difficult times. Do not hesitate to call, even if your issue seems small to you... it might be bigger than you think.