what is 'self' exactly... how do we make sense of this at all in a way which is useful and meaningful for us in life?
Personally, I've always enjoyed Kierkegaard's idea of the self, as a verb or an act of continual movement (being that the self is continually created and re-created throughout a lifetime).
Here, this idea of the self essentially posits it as a relation, that relates itself to a finite and an infinite aspect.
The finite aspect is the necessary, the relation to the concrete here and now, to the reality of living as a definite something in the world.
The infinite aspect is all about possibility, to create new thoughts, new ideas, to bring into existence new creations, to change oneself into becoming something new by choosing from an infinite number of possibilities.
A balanced self then, is a relation between these two aspects, to choose from infinite possibility, and then to make this choice concrete by actualizing it in the finite. This balance is a continual movement, as the self changes over a lifetime of experience. This idea of self also requires overcoming anxiety into a "leap of faith", that is, to have the courage, passion, and conviction to make a choice from infinite possibility and committing to it in our finite reality.
The loss of self then, Kierkegaard would say, arises from an imbalance in the relation to the finite / infinite - i.e. to be trapped in the current finite self relation, unable to actualize and to change, or trapped in infinite possibility, a dreamer, with no hope of making those dreams "real."
So, the self then - a verb, an act, a continual movement - an unfolding project of taking what we find ourselves with as beings in the world, and through a passionate commitment, or "leap of faith", relating to something outside ourselves to bestow our lives with meaning. One could say, a subjective meaning, or subjective truth - "to become what one is" - this choice / meaning, is all up to you.