Coping strategies for depression and 'sex addiction'?

I was wondering if anyone here has had to deal with either depression, a desire for self harm, or sex addiction (which in my case seem to be quite interrelated, feeding on one another in a vicious cycle), and what coping strategies you have used to cope with either? Sex Addicts Anonymous? Any other experiences? Any advice would be appreciated. Also, whether a therapist was worth it in your case, what recommendations he had made, etc.