How can I say I know anything about myself when I don't even know how to feel?

This is not how the body works. You can only know what you feel in the present, memories of the past and musings about some future are gone and imagined, reflecting on those doesn't give you feelings about the present you're in. 'Knowing how to feel' implies to me that you, if you knew that, would try to somehow enforce that feeling when you 'know' you have to feel this or that right now? That's even when you view it with the scientific knowledge of the brain as of now, impossible. (Else the cure for depression would be a simple "Just cheer up a bit more, if that doesn't help, cheer up more").

It all just gets so confusing and the deeper I think about myself and my wants/needs/thoughts/past actions the more "lost" I get.

If needs are the basic survival things, like eating, sleeping and a bit of washing then wants/thoughts/past actions (past actions are just thought about past events) are the same: thoughts.

Lost in thought is a funny expression because it's used so casually while it's all too real. Drowning out thoughts through activity, drugs or even self harm (aka other stimuli) isn't a real good way of combating the thoughts simply because you only force yourself to 'just stick to one' thought and that's still a thought.

To get to yourself is accepting the thoughts, but don't follow them. A meditation practice trick (one of many) is to visualize thoughts as boats on a vast ocean, just watch them go by, not engaging.

This isn't done quickly, but when it begins to work the calm it brings into your real life (when you're not meditating) makes it easier to engage ( or 'open up') with people, being confident in what you think and expressing it. But not in a way of ehmm, forced confidence, natural smooth confidence, because you know what and who you are beneath all those thoughts.

Anyway, for a better read I would recommend the easily readable and kinda humorous, not too serious book (also not religious) The Taboo Against Knowing Who You Are (It's a site from Hungary, but IIRC it's the whole book in pdf)

And here is a nice introduction and guided meditation from the same dude Alan Watts