That is not exactly correct, Kurt.  Voting for yourself does absolutely nothing.  Voting for a third party candidate, even one that cannot possibly win, does two things.  First, it lets the winning candidate know where the people stand on issues and why they are losing votes. Hopefully they will get the message the next time around. 

Second, if a third party does well enough, they have an easier time getting on the ballots in the future.  It also begins to show that a third party candidate may be viable and then people won't all think like you do now, and they may be encouraged to actually vote for the best candidate rather than the lesser of two evils.

Best,
Robert A. Franco
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