It doesn't sound wrong to pay for a PhD, if you can afford it. As I was interacting with current PhD students and students in the process of applying for one my impression was that being offered AT LEAST full tuition through an assistantship is a major factor in deciding whether to attend a program or not. Most of these people were recent graduates or young professionals (>30 years) and did not want to go into debt for years and years to come for the privilege of going to school 4+ more years, especially with the economy these days. But if you can afford it, it's your goal, and think you will find professional and personal fulfillment through this, I don't see why you shouldn’t pay. By the way, why are you going to UK? Most US universities offer full tuition and stipends to their doctoral students, as far as I know.