It feels good to be self insulted.
How to say it grammatically correct. I know I am wrong please make me correct.
It's not clear to me what exactly you want to say with self-insulted. Why would anyone want to insult themselves or be humiliated in front of others? That's a form of masochism. Maybe, you're thinking of something like self-criticism or self-deprecation which are generally considered good qualities to have. And those are probably the expressions you're looking for.
Self-criticism is a good quality to have because it helps you see yourself from a more critical position.
It's always good to be a little bit self-deprecating in whatever you do.
"Self-insulted" implies you are insulting yourself. If that's the case then Cookie Monster's answer of "self-deprecation", etc. would apply.
Otherwise, if you're just talking about someone else insulting you publicly, then that's pretty much what you would (sarcastically) say:
It's always fun to be abused by my friends.
Could you please slap me around some more? I really enjoy it!
Or you can focus on the expected result of the insults:
I always appreciate being humiliated in front of an audience
Certain well-known political figures or celebrities will sometimes be given a roast, which is a banquet at which the honoree is subjected to good-natured ridicule by other celebrities, often famous comedians. For example, excerpts from the 2009 Roast of President Obama.
In this context, it may be OK to say you're being "roasted" by your friends, but I don't know if they'd understand.