Andrew Lenz has an article about it on his website that covers most of the reasons why you shouldn't try to teach yourself.

It's generally a very bad idea; as JS Sanders says, most pipers can detect a self-taught piper instantly, which should tell you that teaching yourself doesn't end up with the same results as learning from an instructor.

I would suggest getting an instructor; if you can't afford one, see if there's a pipe band that gives free lessons. (Many do, with the understanding that you'll play with them as you learn.) Check out the Bob Dunsire forums and see who's near you that might be able to help.