"self-conscious" is hyphenated, yes.
Yes, "self-diagnose" is hyphenated.
No, "self-interest" is typically not hyphenated.
The word "self-confidence" is hyphenated.
Yes it should be hyphenated.
Yes, "self-esteem" is hyphenated when used as a compound adjective, such as "low self-esteem."
No, "self respect" is not a hyphenated word. It is typically written as two separate words.
Yes, "self-conscious".
You write it as self-esteem. It is hyphenated.
Self-made should be hyphenated.
Self-made, self-proclaimed, self-absorbed, self-centered.
Yes, "self conscious" should be written "self-conscious".