I found the treatment Dialectical Behaviour Therapy - DBT - helpful. It might be worth enquiring about it with you CMHT or health authority to see if they are running it.
You can purchase the books but it takes alot of dedication and practice to learn the skills which is why they run the treatment. It usually lasts a year (if done properly with two cycles of the same course lasting 6 months - so you can remember the skills and practice them) and you attend a group and an individual session once a week.
This is a good site for DBT self help..
http://www.dbtselfhelp.com/
This is a site for the books...you might need ones aimed at self help and based on Marsha Linehans model (she created it), she has written a manual for practitioners which they use in the group it might be worth reading that...
http://www.amazon.co.uk/s/ref=nb_ss?url=search-alias=stripbooks&field-keywords=dbt
Other people have found Mentalisation Based Therapy -MBT- helpful for BPD but I don't know a lot about it.
Otherwise I would try look at treating any behaviours separately if you can so if you self harm see if there is a self harm treatment or group, if you have anxiety try anxiety management and so on.
They tend not to offer much if any type of psychotherapy to those still actively suffering with BPD because of the fear of it triggering more damaging behaviours. They are only considering it with me now because I am largely not using them and have been pretty stable for quite some time. If I am triggered I have managed to learn more helpful skills to cope.
Have they talked about any of this with you? I sometimes have found more success when I suggest to my CMHT and health workers what I want and need and be quite specific about it. I tend to do alot of research myself and try to organise things through other professionals if I am being blocked by one. I know it's wrong but sometimes it's the only way to get what you need from them.
or maybe i expect to much. 
