Two of my friends have self-published short stories.
Friend 1: He chose a single story that he had sold to an extremely reputable market. He waited for the rights to expire on that story so that he could self-pub it (having already been paid quite nicely for the first publication of it). He then did all the research on formatting it himself and registering it with all the pertinent sell sites, and he then published it. He definitely did not pay a vanity publisher. Since then, he's made some money on the story (after paying for a few select advertising campaigns) and has learned a lot for publishing his next story. Should he do another story, though, he will likely follow the same process--sell it to a reputable market to get paid for first rights, then let those expire after publication, and THEN self-publish the story to try to make some extra money off of it.
Friend 2: She chose to self-publish a short story collection. A majority of the short stories had already been sold and published in reputable markets, and a few of the short stories were new "rewards" for readers buying the collection. She did her research, designed a great cover (she has some solid art skills), did her layouts and everything else on her own. She advertised through friends and word of mouth. She has done moderately well (considering short story collections honestly don't sell anywhere remotely near as well as novels, with occasional exceptions). If she does this again, she will likely follow a similar process, a process that again does not pay a vanity publisher for things she can do herself.
There are two key similarities between these two friends. First, their stories had already sold and made them money and an audience elsewhere. Second, they both did their research and put together their self-published titles on their own because they knew that, given the low returns on short stories and collections in the self-pub market, spending money on a vanity operation would be a waste. Not to mention, they are both strong believers in Writers Beware and in avoiding operations that make deceptive promises in return for making everything "easy".
When self-pubbing, you have to be smart with every penny you have if you want to maximize what you're going to get back and not come out at a loss. Money has to be spent, but it's up to you to spend it on the smart things that will help you and not on things that only serve to eat into your profit.
I, on the other hand, have not ventured into that distant land yet. I am still happily submitting and selling stories in the traditional market. I might go for a collection in a year or two, in which case, I will probably hit up Friend 2 for her full experiences and advice in addition to doing my own deep delving and research.
-Michelle