Put simply, a self-settled trust is a trust that you create for yourself. You are both the grantor (creator) and beneficiary (the one who benefits). Such a trust may either be a revocable (living) trust or an irrevocable trust. Only an irrevocable trust can provide asset protection...
What is required is enough money you feel it's necessary to protect. Planning ahead provides many benefits and the creation of a self-settled trust can help you realize most of them.