Indeed, for changing yourself wearing gloves is not needed, a good wash of your hands however is.
When someone else (like medical staff) changes you it is best practice to wear gloves and wash hands when done and removing said gloves, this because they come in contact with many patients.
For changing someone close to you in your private environment that you live with I also do not consider gloves as required, again proper hygiene by washing hands before and after is a must.
Thus I do not use gloves when changing myself.