Is it a bad thing that I have never been baptized but I grew up a Christian?
Baptism is a work of God that we submit ourselves to. It cleanses us of sin and brings us into the Body of Christ. And to answer your other question, no, one can't baptize himself/herself.
Here is a great article regarding the how's and why's of baptism that you should read:
Holy Baptism: An Orthodox Christian Understanding
Baptism in the scriptures:
(John 3:5) Jesus answered, Verily, verily, I say unto thee, Except a man be born of water and of the Spirit, he cannot enter into the kingdom of God.
(Acts 8:36-38) And as they went on their way, they came unto a certain water: and the eunuch said, See, here is water; what doth hinder me to be baptized? {37} And Philip said, If thou believest with all thine heart, thou mayest. And he answered and said, I believe that Jesus Christ is the Son of God. {38} And he commanded the chariot to stand still: and they went down both into the water, both Philip and the eunuch; and he baptized him.
(Acts 22:16) And now why tarriest thou? arise, and be baptized, and wash away thy sins, calling on the name of the Lord.
(Rom 6:3-4) Know ye not, that so many of us as were baptized into Jesus Christ were baptized into his death? {4} Therefore we are buried with him by baptism into death: that like as Christ was raised up from the dead by the glory of the Father, even so we also should walk in newness of life.
(1 Cor 12:13) For by one Spirit are we all baptized into one body, whether we be Jews or Gentiles, whether we be bond or free; and have been all made to drink into one Spirit.
(Gal 3:27) For as many of you as have been baptized into Christ have put on Christ.
(Eph 4:4-6) There is one body, and one Spirit, even as ye are called in one hope of your calling; {5} One Lord, one faith, one baptism, {6} One God and Father of all, who is above all, and through all, and in you all.
(Titus 3:4-7) But after that the kindness and love of God our Savior toward man appeared, {5} Not by works of righteousness which we have done, but according to his mercy he saved us, by the washing of regeneration, and renewing of the Holy Ghost; {6} Which he shed on us abundantly through Jesus Christ our Savior; {7} That being justified by his grace, we should be made heirs according to the hope of eternal life.
The early Christians did not allow anyone to partake of the mysteries of Christ's Holy Church- including communion- if they were not baptized. Only those who were in the Body of Christ could partake.
See what one Early Church Father had to say:
The Sacrament (Mystery) of Christian Baptism
St Cyprian of Carthage
From a Letter written to a new convert, 246 A.D.
I promise to share with you the grace God in His great mercy has shown me, and to tell you as simply as I can what I have experienced since I was baptized.
Until that time, I was still living in the dark, knowing nothing of my true life. I was completely involved in this world's affairs, influenced by all its changing moods and troubles, and exiled from the light of truth.
I had indeed been told that God offered men and women a second birth, by which we could be saved, but I very much doubted that I could change the kind of life I was then living.
Frankly, I could not see how a person could cast off his fallen nature, and be changed in heart and soul while he still lived in the same body as before. How was it possible, I asked myself, to change the habits of a lifetime instantaneously.
How can one suddenly rid oneself of accumulated guilt and break with sin that has become so deeply rooted in one's life? Can a man whose life has been characterized by feasting and luxury, learn frugality and simplicity in a single moment? A person who craves public distinction and honor cannot bear to be passed over and unnoticed.
Another who is accustomed to throngs of flattering attendance, takes it a terrible penance to be left alone. Is every species of temptation suddenly to lose its force? Should we no longer feel the enticement of wine and good living, where pride no longer swells our heads or anger blazen our breasts? Shall we no longer be troubled by covetousness or cruelty or ambition or lust?
These were my thoughts. My past life was so burdened with so many sins, that I saw no way ever to be rid of, that I had grown accustomed to giving way to my weakness.
I despaired of ever being any better.
Consequently, I simply humored my evil inclinations, and made no attempt to combat them.
But at last I made up my mind to ask for Baptism. I went down into those life-giving waters, and all the stains of my past were washed away.
I committed my life to the Lord. He cleansed my heart and filled me with His Holy Spirit. I was born again, a new man.
And then in a most marvelous way, all my doubts cleared up, I could now see what had been hidden from me before. I found that I could do things that had previously been impossible.
I saw that as long as I had been living according to my lower nature, I was at the mercy of sin, and my course was set for death. But that by living according to my new birth in the Holy Spirit, I had already begun to share God's eternal life. You know, as well as I do, what sins I died to at that moment, just as you know the gifts the Holy Spirit gave me with my new life. I have no desire to boast, but it is surely right to thank God for His free gift. It was through faith in Him, that I received the power to break with the sins into which my own folly had led me.
We have received the seal of the Holy Spirit. Our task now is to preserve the integrity of what we have received by living a truly Christian life. We must give time to prayer, and to the study of scripture. Now speaking to God; now listening to His word to us, and letting His teaching mold us. He has enriched us with a treasure no one can take away.
We have eaten and drunk at His heavenly banquet, and can never again know the pinch of poverty.
The Sacrament of Christian Baptism - A letter by our Holy Orthodox Father St Cyprian of Carthage written to a new convert