Yes, bring up your profile and click on "send private message"....

Or if you write a PM to someone else and then change your mind for whatever reason (like maybe you're a bit upset with a friend but want to write and not send, like writing a snail mail letter and tearing it up) you can change their name to your name before you click on "send" and you send the PM to yourself! It's also good for keeping records of progress or otherwise

And seeing a line of blue umbrellas sometimes makes me feel less growly ...