I don't have many great coping skills, but my best are taking a walk or just getting out in the sunshine, playing a musical instrument ( I bought a wooden flute a few weeks ago that I play when I want to scream or hurt myself).
Anything artistic can be really helpful. Don't worry about whether or not you have any talent! Chances are you do, every one has access to the creative part of themselves. It's hard to feel creative when you're struggling with so much depression, but believe me the pay off for just trying it every once in a while can be so wonderful!
And yeah, a lot of the things other people said about just keeping busy or trying to do something nice for yourself are really good, too
And it's always helpful to talk, I think.