I don't know of ANY medical solution to ANY medical problem that is not accompanied by risk. Yes, it is possible that someone predisposed towards self-mutilation might take burn therapy too far. But the distinction is this: burning of herpes lesions is targeted-- directed AT the lesion. People who cut themselves, etc., are attacking healthy tissue somewhat indiscriminately; thus, their motivation must be different. This leads me to believe that someone who's going to engage in self-mutilation due to Depression is going to do it irrespective any prior experience in freezing off warts, cutting out splinters, etc.
I'm starting to think that all the nay-sayers on here have the ulterior motive of denigrating anything that detracts from their own commercial enterprises. If you are instead motivated to be healed, try it. IT WORKED FOR ME!