Everyone is -- unalterably -- defining their own values, and quite often those doing so consciously are doing so quite selfishly, sure. Those doing it unconsciously are often just defining their own values by uncritically internalizing some (possibly distorted and misunderstood) set of values that someone else defined (either selfishly or not.)

> Once you remove morality, then you have nothing to give any positive direction to your values, because you have no basis for defining what "positive" means, other than your own feelings and thoughts.

Arguably, "morality" is just a label for your own feelings and thoughts about what is positive and negative, and recognizing that is the first step in thinking about morality on something beyond a cargo cult level.

There are only two options: define morality for yourself, and own it completely, or allow someone else to define it for you.

Morality is a construct that stems solely from man. What Nietzsche condemns is accepting the morality of others like sheep instead of critically. You cannot own a moral construct until you have fully evaluated that construct and accepted its consequences yourself.

Further, he claimed that a morality based on what happens after you die is bereft of any real meaning. He advocated a morality rooted in the human condition and defined by its relation to humanity, not its relation to dead gods as defined by moral potentates.