Self-deception is when you do something but pretend something else. If I have a a strawberry-filled donut, it's not healthy, but I can pretend that strawberries are healthy and engage in a little self-deception by calling my donut a serving a fruit.
Self-denial is when you want something, but don't give in to it. If I want that donut, but can't lie to myself about it being health food any longer, I have practiced a bit of self-denial.