Which would you feel most comfortable in doing?
should i just go to the counseling center at my school and talk to them first and let them recommend a physician if they feel i might need medications
Sounds a good way around to me, bearing in mind that the dr may well recommend counselling, and there may be less of a waiting list at your college.
Also, lots of people have depression as well as anxiety, and self harm is connected with both, also eating issues. So you're not an odd one out by any means. :)