This is also what I knew: you can always (through a small trick) change a self-moderated topic into a non-self-moderated one, but the opposite is not possible. In order to change a self-moderated thread into one without self-moderation you have to move your topic to a board where self-moderation is not possible (Meta, for example).

But there is no possibility to add self-moderation to a topic which was created without self-moderation. I understand your purpose but this is not possible...

Furthermore, be aware that a bug may also prevent you from creating self-moderated threads: so if you start writing a topic and you added its title and a few lines of text then you decide to add self-moderation from "Additional Options", although you'll check that checkbox, the topic won't be self-moderated after it will be posted. To make sure that your topic will have self-moderation you should always check the checkbox for self-moderation just after clicking on "New topic" button.

This is an old bug which was never fixed and it may affect you in case you won't pay attention to selecting to have the topic with self-moderation just after clicking on "New topic" button.