Ermm... I give myself cramps, and sometimes whack my head on a nearby table for being a complete arse or idiot, but it doesn't hurt as much as people are lead to believe (just makes a loud noise which I find satisfying). Sometimes I punch myself for said reasons, but it's more diffiicult and painful - only reserved for when I truly cock up.
So to "Ever harmed yourself for pleasure", I would have to say no. I'm interested in trying light bondage, but for anything that actually hurts me I get more pissed off than anything else.