Translation:I sometimes go to the sea by myself.
IME, 海[うみ] is what Japanese people usually say if they're going to the beach (as opposed to 浜[はま]). Of course it could mean they're going to a non-beach seaside location, but hearing this sentence without further context my immediate assumption is that the person is going to the beach.
Yes, very clever, but scale does matter: The smaller a land mass and the greater the deviation from a circular shape, the higher the ratio of coastline to area and the shorter the average distance to the coast. So, even though not all coastline might be considered beach, yes, Japan does have beaches. Try Googling something like beaches near Tokyo, etc.
「自分で」usually implies doing something by yourself in the sense of "without assistance". For example you could say something like 「自分でご飯を作ります」(I cook for myself). Saying 「時々自分で海に行きます」 would only make sense if you ordinarily go there with help (i.e., someone drove you there), for example: 「だいたい友達が運転してくれますが、時々自分で海に行きます。」
Memorize it. If that is hard, use a memory aid like "He told Lee that he's alone." He told Lee sounds like ひとり and may help you remember it means alone. 一人 (ひとり) is a common word in Japanese. If you read stories in Japanese and listen to songs you will probably learn it by repeated exposure to it.