Well, if you click the IM box on your buddylist, type in your screenname, and then write a message...that's how.
You can be on two names at once too. If you have dead aim, which is a waste of money IMHO, or if you have your regular AIM on and put GAIM on or AIM Express. I send myself IM's all the time for when I need to remember stuff before I go out, then put an away message up and they are hidden, then when I get back I am sure to see them.