Motivated by a question from V. Arnold about self-dual curves in projective spaces, we study {\cal M}_{m,n,k}: the moduli space of m-self-dual n-gons in {\mathbb P}^k. This paper lays out an explicit construction of self-dual polygons, and for specific cases of n and m, provides the dimension of {\cal M}_{m,n,k}. We include a conjecture about the Pentagram map in higher dimensions that generalizes Clebsch's theorem, which states that every pentagon in \mathbb{RP}^2 is invariant under the Pentagram map.