I have had CBT many times and I react really well to it now.
When I first started it I didn't do as well. I was a bit like you but I have found that practice dose make perfect (or near perfect).
I found that buying a few CBT books for my difficulties really helped to because sometimes seeing the exercises that your therapist gives you written down in different ways is helpful. Also you can carry a CBT book around in your bag so if a difficult situation comes up you can find a page in the book that will help.
CBT doesn't get rid or urges to do things what it does it it helps you to rationales the situation and think of an alternative way of managing the situation. Meaning that you don't self harm for example. Then after a while of not self harming the urges will begin to fade.
But it does take a lot of time to get use to and you do have to practice it on a daily basis.
I first had cbt 6 years ago and when I'm having a bad time I still look at my worksheet and book daily.
If you decide to buy a book ask your therapist which ones they recommend because there might be ones tailored to your issues more than others.
Don't feel defeated it takes a long time to learn but once you have learnt the techniques and the way of thinking it gets so much easier to action.