It helps here to analyse what the sentence consist of:
You have a cause or condition (You saying that you're good), and a result (You are lying).
Whether to use the Konjuntiv (II) here depends on the plausibility of your statement:
If you are actually saying that you're good, you use the Indikativ for both cause and effect:
Ich lüge, wenn ich sage, dass ich gut sei.
If you are a honest person and would never / have never claimed to be good, you use the Konjunktiv II:
Ich würde lügen, wenn ich sagte, dass ich gut sei.
In spoken language, the Konjunktiv II often gets replaced by the construction with würde, so the following is also correct:
Ich würde lügen, wenn ich sagen würde, dass ich gut sei.
Side note: lügte would also be correct instead of würde lügen in my first example for Konjunktiv, but it sounds weird.
You may hae noticed the Konjunktiv I in "... dass ich gut sei". This is because it is Indirekte Rede which always requires Konjunktiv (I, but gets replaced by K. II sometimes to distinguish from Indikativ, which might then again be replaced by a würde construction)