With the Vacchagotta dialogues we need to be careful about what is being talked about in terms of self. In Vacchagota case I think what is being pointed to is a more metaphysical understanding, less the sense of self that we must deal with on an everyday basis. Both the everyday sense of self and the metaphysical self, however, greatly overlap, but we need to be very care about running around saying we have no self, which is not quite empirically true.
There is a sense of self that we have which is real: "I feel," "I want," "I am." The problem with this sense of self is that it assumes it is more real than it is, that it does not change, that it is an independent agent, but the insight that arises from the Dhamma practice allows us to see that this "self" is both conditioned and conditioning. It does not exist independently of the rise and fall, the ever-changing flow of conditions of the mind/body process. There is a delusion we suffer from which is the assumption, the radical feeling, that we are in our heart of hearts, in the very core of our being, a singular independent thingie, a real and independent agent.
The radical insight of the Buddha is that we are not that. We are, rather, a dynamic interdependent process were choice, feelings, sensations, and the whole catastrophe can play itself out without a need for a sense of self, no matter how rarified the concept may be. Though we may believe this, the practice of the Buddha's teachings is a matter of cultivating the mindfulness that gives rise to the insight into what it is that the Buddha taught about self.
In the mean time we have to start from where we are; we have to deal with this sense of self that seems so real. We can tell it where to get off, we can pretend it is not real, but being stubborn, recalcitrant, it won't get off; it persists. So we in a real sense, via the teachings of the Buddha, we cultivate it, we train it, we tame it via learning the teachings, via practicing the precepts and meditative practice, and through giving and lovingkindness practice.
All this helps to thin the walls of delusion of permanence with which we surround the our feeling of self, allowing us to see the self's actual interdependent nature, which allows us to let go of that sense of self-ness that we seem to think is so real.
The Buddha's insight into this is radical and uncompromising in that it cuts to the very depths of what we imagine we are and if any sense of independent self as being what we truly are lingers, we are to that extent not awake.
The Buddha taught not-self as a methodology for gaining insight into our nature which has no independent self. Not-self is no more a independent thing than is self. The truth of what we are lies in the very rise and fall of our very experience, but in the mean time we have to start from where we are.
This being is bound to samsara, kamma is his means for going beyond. -- SN I, 38.
“Of course it is happening inside your head, Harry, but why on earth should that mean that it is not real?” HPatDH p.723