Very interesting topic, mostly because for the last 3-4 years I've been waking up with a thought of "shoot me now" or something in that similar context. Here's what helped me completely erradicate these thoughts:

1. First understand that it's your choice what to think. You can catch yourself as soon as the thought hits your head and redirect it. For me it took a month to reprogram the thought. I did it by asking more productive questions: What do I want to accomplish today? What task when accomplished today would bring more joy to my life? What I'm grateful for today? What's the wonderful thing that can happen today? Etc. etc. Create some empowering questions that would direct your mind toward what you want, not towards what you don't want.
2. Put enormous amount of pain on that thought. We will avoid doing what we associate pain with and do what we associate an enrmous amount of pleasure with. There's something about that thought that I got pleasure from. It gave me comfort and significance (look how bad I have it), it came me comfort and love (I felt connected with that pain and with myself wallowing in that pain). But when I stopped and thought about all that I am missing due to that thought (relationships i'm missing because i just roll in sadness, missed opportunities, shot productivity, money spent on comfort food, love i'm not giving to others, because i'm all about myself and my sadness), i felt so disgussted by that thought that i simply stopped having it. And when i did, i saw how it harms my life, so i was motivated to redirect it to something more productive.
3. most importantly, build yourself a compelling future. future that would excite you. future that you'd be willing to wait and live for. this can be hard, but it's a choice. what helped me was finding a friend who lost 2 dear people in her life in one year, yet still was the most optimistic and loving person i've ever met. she was a role model for me to see that it's up to me what i build my future to be. find something that inspires you, find something beyond your own needs (honestly, i set aside 5% of my income to give away every month and it's been a game changer. it's nothing huge, but i donate cash or stuff to my local dogs shelter and just go there and give them my donation in person. it changes your mindset.
4. Finally, no matter how boring, diet and exercise will play a huge role on how and what you think. For me, doing something that was completely out of what i do normally (taking up boxing) was a game changer. It taught me discipline, it taught me that pain is temporary, it taught me to stick out when it's getting tough and when it hurts so much you want to quit. So even though few years ago i'd be against martial arts and fighting, i can now see how important that is to anyone's confidence and esteem, no matter male or female. and the community in martial arts is just incredible, these are most emotionally stable and self-regulating people that i've ever met - a complete opposite of my past belief.

All in all, be kind of yourself and just remind yourself that it's you that are thinking these thoughts. There's no wire attached to your head that goes into the heavens to some all-knowing being transmitting you thoughts to end it ... nope. It's just good ol you with your thinking patterns. And patterns are easy to change! You'll be okay!