You can say "J'ai appris par moi-même à ... + verb" or "J'ai appris + something + en autodidacte".

I tend to say things like "J'ai appris (whatever you learnt) seul" or "J'ai appris X à la maison (or) chez moi (or) sans prof (or) sans prendre de cours". you might want to adapt / change according to what kind of skills you actually taught yourself, but as a native teaching languages and music, people usually understand it when I use "seul" or "sans prof".