Koch keeps crossing himself and saying: ‘If I had been there, he would have jumped out and killed me with his axe.

Crossing Himself here mean he made the sign of the cross or he punished himself

Question

Koch keeps crossing himself and saying: ‘If I had been there, he would have jumped out and killed me with his axe.

Crossing Himself here mean he made the sign of the cross or he punished himself

Answer

It means he made the sign of the cross on himself.
 
I can't think of a similar expression that might mean he punished himself.
Perhaps you are thinking of 'he was cross with himself'? This means he was annoyed with himself.