To actually answer the question no it is not illegal to film yourself voting.

http://www.snopes.com/dont-selfie-your-ballot/

"It's a very unusual case," says Jeffrey Hermes, the deputy director of the Media Law Resource Center in New York. "Usually banning political speech would be a violation of the First Amendment. But with photography at polling places, there's an intersection of two fundamental aspects of democracy: freedom of speech and the integrity of the voting process."

Hermes breaks it down this way: Suppose you were a nefarious character who wanted to skew the voting process in some way. You could buy votes, but you'd want proof that people actually voted like you told them to. You could mislead people who don't understand the voting process or don't speak English well. You could intimidate other voters into voting like you do.

In these cases, photos from inside the voting booth would really help you, the nefarious character, perpetrate election fraud. And so, many states have just banned those photos categorically. In this narrow circumstance, they've indicated, there's something more essential to democracy than free speech