If you only have the iMessages and Bonjour account in the Messages > Preferences > Accounts and the Bonjour one is not active then the pic tends not to stick.
Basically in iMessages only those iMessages to other Macs are likely to send pics.
Your own iMessages to yourself from your iPhone will take the pic from your Address Card (Contacts app > My Card) rather than the one you use in Messages.
If you enable the Bonjour accounts then the Messages Menu > Change my Pic will tend to work permanently.
It is also easier to use the pic in the Buddy list (if displayed) to change the pic.
Once the pic has been changed you can hide the Buddy list (it will remain hidden across app launches)
iMac 2.5Ghz 5i 2011 (Mavericks 10.9)
G4/1GhzDual MDD (Leopard 10.5.8)
MacBookPro 2Gb (Snow Leopard 10.6.8)
Mac OS X (10.6.8),
Couple of iPhones and an iPad