I have come across the following in the SSiW Challenges:
AR DY BEN DY HUNAN = On your own (informal to a friend)
AR EI BEN EI HUNAN = On his own
AR EU PENNAU EU HUNAIN = On their own
FY HUNAN = Myself
I’d be grateful if someone could fill in the gaps with the following:
On Your Own (plural or formal) = ?
On her own = ?
On his own = ?
Yourself (informal) =
Yourself (formal or plural) =
His self = ?
Her self =?
Our selves = ?
Their selves
On Your Own (plural or formal) = ar eich pennau eich hunain
On her own = ar ei phen ei hun(an)
On his own = ar ei ben ei hun(an) (as you said yourself above)
Yourself (informal) = dy hun(an)
Yourself (formal or plural) = eich hunain
His self = ei hun(an)
Her self = ei hun(an)
Our selves = ein hunain
Their selves = eu hunain
So for “self” (singular) you just use the appropriate personal form fy/dy/ei and so on plus “hun” or “hunan” (no difference in meaning, both forms are valid), and for plural “selves” you use ein/eich/eu plus “hunain”.
Just for completeness, on my own = ar fy mhen fy hun(an), but in speech you’ll often hear it as ar’mhen 'n hun, with the pronoun “fy” mumbled into non-existence 
Diolch Hendrik - Mae’n helpi mawr
I think I have heard simply “ben ei hun” for “on his own” i.e. the speaker seemed to swallow the “ar”. Does this resonate with anyone else’s experience of the spoken language?
In full it was, “Roedd o’n eistedd ben ei hun,” if I heard correctly. I.e. “He was sitting on his own.”
PS If anyone likes mnemonics, “ben ei hun” sounds very similar to the name of the evangelist Benny Hinn.