In this sentence, 'of themselves' is the phrase. It means that they made the pictures that depicted their own faces. So, you could say, "A self-portrait is an artist's painting of himself/herself." That's redundant, but I hope it helps you understand 'of oneself'.

No, it's perfectly regular English. You paint a picture of something. If you only have a stone and a rock wall, then you engrave a picture of something. So, these wise men engraved pictures of themselves.