We have to realize how important kid's peers are to them. Unlike adults, kids can't as easily just pick a different group of friends if they don't like the ones they have. They have a more limited pool to pick from, and their immediate peer group is the only world they know outside of their family. And being socially accepted is even more sensitive to kids when they haven't yet formed a secure self-identity.
Being "bad" is one of the most effective ways to prove your Independance. When someone gets others to be bad it makes it more acceptable for them to be bad. And even without being bad, peers will pressure each other to do things just to fit in with them.
Common types of peer pressure include drug /alcohol/nicotine use, committing crimes, and thrill-seeking behavior. Peer pressure can also include dressing a certain way, getting piercings and tattoos, dating someone you don't like, and having sex before you are ready.
"It's going to happen. What can be done?"
Teach them what peer pressure is, where it comes from, and why people do it.
Use jokes to redirect. This not only makes the peer feel guilty, but it shows shrewdness, all while softening it with humor.
"Oh, are you trying to use peer pressure on me!"
"Are you Chicken?" - "Maybe, are you an Ass!"
Let them know that saying no isn't as bad as they think. Their peers will most likely still like them just as much even if they are the only one "not doing it."
Let your kids know that nothing in the world is more important than treating themselves well.
A real friend would not want them to engage in self-harm.
Summary
Fitting in is essential part of everyone's life. (See: Fitting in.) But no amount of acceptance is worth "selling out" to the point of self-harm, even in small degrees. Let your kids know what peer pressure is, how to identify it, how to shut it down, and to respect themselves above all else.