That's from "Best of Both Worlds II":
Data: "Possibly. But as you may recall on several occasions, we have witnessed the Borg removing key circuits from injured comrades, no doubt separating them from the group consciousness."
Riker: "The injured Borg immediately self-destructed."
Data: "That is correct, sir."
Whether we choose to trust Data with that last one is up to us. After all, our heroes were dead wrong in most of their guesses on the nature of the Borg in these early episodes.
Since we see no such "self-destruct" effort later on, when isolated Drones are cornered or killed, it seems that this destruction cannot really be achieved by "self" alone...