Yes, "self-proclaimed" is hyphenated. The hyphen is used to connect the two parts of the compound adjective, clarifying that the person has declared themselves something, rather than it being an official title. This usage helps avoid confusion in the sentence.
Self-made, self-proclaimed, self-absorbed, self-centered.
No, "self-interest" is typically not hyphenated.
Yes, "self-diagnose" is hyphenated.
"self-conscious" is hyphenated, yes.
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".
Yep. Just as there are self-proclaimed left-handed people and self-proclaimed blue-eyed people in both chambers, too.
You write it as self-esteem. It is hyphenated.
Self-made should be hyphenated.