If you laugh at your own stories, you should stop telling stories. Really. Laughing at your own story is like driving your brand new Porche through your neighbor's front door. You've wrecked something that could have been a lot of fun, and you didn't impress your neighbor at all.
But don't take my word for it. Here's what Mark Twain had to say about auto neurotic self-fixation.
"The humorous story is told gravely; the teller does his best to conceal the fact that he even dimly suspects that there is anything funny about it; but the teller of the comic story tells you beforehand that it is one of the funniest things he has ever heard, then tells it with eager delight, and is the first person to laugh when he gets through. And sometimes, if he has had good success, he is so glad and happy that he will repeat the 'nub' of it and glance around from face to face, collecting applause, and then repeat it again. It is a pathetic thing to see."