Dexterous manipulation is critical for advancing robot capabilities in real-world applications, yet diverse and high-quality datasets remain scarce. Existing data collection methods either rely on human teleoperation or require significant human engineering, or generate data with limited diversity, which restricts their scalability and generalization. In this paper, we introduce DexFlyWheel, a scalable data generation framework that employs a self-improving cycle to continuously enrich data diversity. Starting from efficient seed demonstrations warmup, DexFlyWheel expands the dataset through iterative cycles. Each cycle follows a closed-loop pipeline that integrates Imitation Learning (IL), residual Reinforcement Learning (RL), rollout trajectory collection, and data augmentation. Specifically, IL extracts human-like behaviors from demonstrations, and residual RL enhances policy generalization. The learned policy is then used to generate trajectories in simulation, which are further augmented across diverse environments and spatial configurations before being fed back into the next cycle. Over successive iterations, a self-improving data flywheel effect emerges, producing datasets that cover diverse scenarios and thereby scaling policy performance. Experimental results demonstrate that DexFlyWheel generates over 2,000 diverse demonstrations across four challenging tasks. Policies trained on our dataset achieve an average success rate of 81.9\% on the challenge test sets and successfully transfer to the real world through digital twin, achieving a 78.3\% success rate on dual-arm lift tasks.