As I have already mentioned many times in answers to other questions, there is no officially correct way for wording a phrase. Of course, sentences which are not grammatically correct (or don't make sense) can be classified as being incorrect, but except for this, there is no way to prove a phrase or expression as correct and others as wrong.
However, it is better to adopt the conventional form, i.e the form used by the most number of people, in order to ensure that the maximum number of people comprehend you.
In this case, I'd say
Ask yourself, "Is this really what you want?"
is the most grammatically correct. However using the indirect form is more popular (hence, it is conventional), which @mustafa has already mentioned. Therefore, I advise you to use:
Ask yourself if this is really what you want.
Ask yourself if this is really what you desire.