It is pretty standard practice now for desktop applications to be self-updating. On the Mac, every non-Apple program that uses Sparkle in my book is an instant win. For Wind
Frankly, it really does depend on your userbase. There are tons of PHP applications that don't automatically upgrade themselves. Their users are either technical enough to handle the upgrade process, or just don't upgrade.
I purpose two steps:
1) Seriously ask yourself what your users are likely to really need. Will self-updating provide enough of a boost to adoption to justify the additional work? If you're confident the answer is yes, just do it.
Since you're asking here, I'd guess that you don't know yet. In that case, I purpose step 2:
2) Release version 1.0 without the feature. Wait for user feedback. Your users may immediately cry for a simpler upgrade process, in which case you should prioritize it. Alternately, you may find that your users are much more concerned with some other feature.
Guessing at what your users want without asking them is a good way to waste a lot of development time on things people don't actually need.