Play with yourself
Definition 1 of 2
Pro Tip 1/3Solo Activity
The phrase suggests doing something alone that you enjoy, without implying anything inappropriate. 
When he plays with himself, he's usually building model airplanes.
Pro Tip 2/3Misunderstanding Risk
Be careful using this phrase, as it can be misinterpreted due to its other, more adult, meaning. 
She likes to play with herself by drawing in her sketchbook (but be cautious with this expression).
Pro Tip 3/3Non-social
The phrase can imply preference for solitude over being with others during leisure time. 
On weekends, he just plays with himself, immersed in video games.