It's been drummed into me since I started into a serious study of the writing craft that money always flows toward the writer--never away.
Self-publishing is a huge gamble that almost always ends in the latter, but every once in awhile you hear a success story. The Christmas Box, for example. The Train to Potevka for another. But for the few success stories, there are dozens of failures, and deservedly so. I have only rarely come across a self-published novel that was worth my time to read.
But there's a new twist in the self-publishing industry. Online publishing that can be done for FREE! I did it here on my blog, republishing an old out-of-print story from a few years ago. I've even heard of self-published online novels being picked up by print publishers, because people who read print media rarely read on the computer, therefore a print publication won't compete with an online publication of the same novel.
Note, I said NOVEL there. This really doesn't hold true for short stories. I don't know of a single publication that says they'd love to have your online self-published stories for their print magazines. But I DO know of several that specifically say that if you have self-published the story online (even just putting it up on your blog, or on an open entry format writer's site for general critique), they consider it published and absolutely WILL NOT consider it for publication.
If you have any hope of publishing a short story, do not post the entire story(or even the majority) online.
In fact, Hatrack.com, an open entry (you can read all you want, but have to be registered to post) writer's workshop peopled mainly by speculative fiction writers, has a rule that you can only publish the first thirteen lines of a story that you would like to have critiqued. Among other reasons, this rule protects the writer's publication rights, while still giving enough of the story that you, as a critiquer, can decide whether or not the story interests you.