Good Luck! I know these are the sort of things all of us parents dread having to face.
Unfortunately, I believe (this is my opinion) that a lot of it is choice. She is choosing to smoke (and to disobey your rules). Until she decides that she doesn't want to be a smoker than I'm not sure how effective all your interventions will be. (Before I get flamed - I am in no way saying that you can't become addicted to smoking, or addicted to the act of having something to do with your hands and mouth. I do think that a teen just starting is probably not addicted).
In your situation, I do believe that this coupled with the cutting does indicate more than just a typical experimenting teen and you are right to be seeking counseling.
My DH grew up in a home with two smokers. He hated it and has never smoked once. He is very anti-smoking.
I grew up in a home with two non-smokers. I tried smoking as a kid with friends. I chose not to continue. Occassionaly through college I might smoke when out drinking, but again I was never a smoker. It doesn't interest me and I'm too cheap. I've had opportunity, but I choose not to smoke.
I don't know if that helps you at all. My DH has big plans to have discussions when our boys are older about sex, drugs, smoking, alchol etc. We joke (for lack of a better word) about the manual our boys are going to get. Having taken medical classes he plans to include the most graphic and gross pictures he can find to (hopefully) help them make the right choices in life.
On another note, I think the anti-smoking campaigns have done some great commercials over the years. You can probably find them on youtube. A very effective one that I have remembered over the years is the Cowboy singing through his electronic trach voice "You don't always die from tobacco."
http://www.youtube.com/watch?v=xRHvZazd4IM
This one might appeal to a teenage girl.
http://www.youtube.com/watch?v=-YjrkBYDDQM&feature=related