You don't have to play as yourself, but I find it's the best way to get the players truly invested in their characters. If you're doing a long-term campaign, it's best to introduce some Survivors or Inspired into the group--Survivors are ordinary folks but more apt to survive: bikers, military, law enforcement, athletes, that sort. Think Rick, Daryl, or Negan from The Walking Dead: guys who are tougher, luckier, or just plain harder to kill than the next guy. Inspired are the ones touched by a divine power they can use to manifest miracles: circles of protection, blasts of energy, laying of hands, that sort of stuff. :)

But I've found people always connect to themselves best, so letting people put themselves into the game makes them less apt to take risks or sacrifice themselves for the group unless the situation is truly dire. That's where the fun comes in. :)