But Im scared that if i do it anymore, I could take my life. All I know to do is overdose or cut myself when something goes wrong in my life.

I started a class called Dialectical Behavioral Therapy which is supposed to help me out with coping skills but I have no idea how much it will help.

I dont want to take my life but self harm is all I know.

In terms of the self harm, you seem to already understand that it isn't the best idea.  While it might feel good for the moment and relieve some of the pain you're experiencing...it's only going to make it worse in the long run.  It isn't solving the root of the problem, nor is it helping with your depression.  It's a coping method, but not a good one.  

Aside from that, you are putting your life in danger.  You seem to already recognize this, which is a bit troubling to me.  Taking risks that put your life in danger are sometimes indicative of a desire to commit suicide.  If you are ALL thinking of doing something like that, I seriously hope you reconsider and think about what you have going for you in life.

You definitely still have hop here and you can get through all of this.  The fact that you're starting a therapy program is really good news.  That can be tremendously helpful with a lot of people suffering from depression (as well as with SI).  I know it's really hard right now but it definitely doesn't have to stay like this forever.