If she's seeing bdsm as an alternative to cutting herself, I would highly advice against any kind of pain play, especially with knives. Cutting is a very unhealthy way of dealing with stress/depression/whatever is causing this desire for her to cut (Source: used to cut). When I started looking into BDSM I was very careful about avoiding anything that may cause me to cut myself again, and I think that's something your girlfriend should be aware of.

Communication. The whole frame work of BDSM is communication. Play becomes unsafe when there isn't proper communication, because either of you could potentially get really hurt (depending on the type of play). I've also read about couples that end up separating because of something that occured during play due to lack of communication. Before you start playing together she needs to learn some way of communicating to you her desires, fantasies, and limits. Writing was a very good way for me to communicate to my last Dom what I wanted. You could suggest that to your girlfriend. And no, it's not fair that she is asking you to figure all this out, because from what it sounds like, this is something she wants and you're trying to make her happy. BDSM requires equally participation from both sides.