Yes, he did, and did so on many occasions. The footage in the video "Dead To The World" does show Marilyn Manson slashing his chest very forcefully, using the microphone. The footage later shows scars all across and down his torso. Also, during the live performance of "The Beautiful People", he is wearing a bloodied bandage across his stomach. This is due to the cut that he gave himself before the performance of "Apple Of Sodom", where he had blood streaking down his torso and on his arms. At the very end of the last song, "1996", Manson is seen to walk backstage, his entire body covered in blood. However, he is also covered in foam, whereas there was no foam playing during the song "1996". This is most likely snow, sogged from the sweat and blood from his performance "Apple of Sodom", where snow fell from the ceiling, for effect.