Dear Walking Alone,
I think you may have hit on the crux of the matter at the end of your first sentence.
( . . . meaning denying myself things I want and controlling my impulses to act.)
Self denial is a good practice in respect to controlling one's impulses — not because pleasure in itself is bad. God attached pleasure to important acts we perform, like eating and sexual love, because the (end/purpose) of surviving as an individual (food) and as a species (sex) is very good however, our nature and our world is tainted by sin.
Without self-discipline we can easily become obsessed or addicted to certain pleasures. Each of us as individuals knows our particular weaknesses. Hence, self-denial is a practice to bring about a proper balance within oneself. Whatever causes one to sin needs to be plucked out of our lives. As long as the natural purpose of the act is always respected, the pleasure that comes with it is to be enjoyed. As long as actions are of the natural order and contribute to the flourishing of human life, rather than selfishness that leads to stagnation, we are okay.
Therefore, penance and sacrifice are important practices in this life because our nature, due to original sin and our own sins, is too attracted to pleasure at the expense of purpose and can easily be a stumbling block to our loving God and neighbor as we ought.