Self-hypnosis usually doesn't work. The mind is a strong beast and will do it's utmost to prevent going into deep levels of the subconscious mind. Unless you are talking about being prompted by an external means, like a CD. Tapes will work if you need to be guided, but even then, unless you change the tapes every now and then your mind will get distracted by thoughts - it's what thoughts do best.
In the case of changing thought patterns, usually there needs to be a sourcing done first on the existing pattern/belief system. Unless the core of it is reached, any form of positive affirmation won't work. Positive affirmations can become a band-aid with a festering sore underneath. It's like ignoring the real issues and feeding yourself candy.
I would question anyone who says they are under self-hypnosis, as actually being under hypnosis. You are the conductor of your mind and unless you can bypass this part of yourself using your own mind through discipline, hypnosis won't work. Professionals do bypass the conductor, but even then they haven't killed the conductor and he/she needs the attention.
Changing your life, as in weight loss or giving up smoking, is usually done using willpower, a change of attitude and a good support person or group - friends. And it's often after all else has failed that you find will power is what you have left.