I guess you can say that if you do not need divine intervention or you are not religious ; otherwise , you would say ,"I pray for myself" . I pray to myself to help myself ( you think that only you alone can help yourself)

I've never heard "pray to myself" to be honest, and it sounds a little arrogant. Since Christianity is very important to the cultures that spoke English, it influences English as well, and you "pray to God", i.e. humbly requesting for assistance from a higher being. "Pray to myself" sounds like you're not only asking assistance from yourself, but you're also self-raising your own "spiritual status" or whatever which is a bit arrogant. I would say that I "pray by myself" or "pray alone", though. (Well, I wouldn't ACTUALLY say that, considering I'm agnostic. XD )