As a rule, I teach my clients self-hypnosis after a couple of sessions. But that is just a timeline I have found to be particularly effective. If you don't need to work on anything specific and want to learn right away, I am completely okay with that.
Just to note; I depart from the company of some of my peers in this respect. Some hypnotherapists believe that by teaching self-hypnosis they cutting of their own revenue stream by teaching you to do what you used to need them for. I don't see it that way.
It's your mind, learn how to use it!