Hello Mr. Promise,
In creating a self-weight load (G) the dead load of all members of the structure will be calculated automatically and used in this case and in all respective combinations.
To do this simply right click "Loading" in the project pilot (usually to the left) and select “Create a case family”, a window will appear and it in this window where you can select the “Dead Load” case that will include all your member self-weights.
Hope this helped.