Yes, that is true - when babies are born they do not realise that they are separate from the world around them, so you could say that they are not self-conscious. This awareness develops at around the age of nine months, which is also a time when many babies can become clingy. They begin to develop their own sense of identity, which they never had before. This further develops as they become older, which is why children who never seemed shy before often become so.
I am a parent of 2, so have read many parenting books, but actually learned this years ago when I began a degree studying psychology (though didn't finish!). Having said that, I'm not sure if the behaviour is learned - I suppose that is the old question of personality v environment. I do know that this is something that is a part of a child's natural brain development, but like everything is probably also influenced by immediate surroundings as well.