It just means that if you are looking for happiness, you can look somewhere else. Like you say, martial arts, socializing, and all the rest. But if being in your own skin is such a burden you are willing to cut off your own arm, that shows a serious dedication to the problem. Overkill, but indicative of some commitment. I doubt with your attachment to the idea of the soul, you can transcend the self easily. Far from an illusion, it's your worldview that the soul is the only real thing that matters. It's eternal and it's behavior will be judged. It might be hard for you to think of self as an artificial construct, less real even than the biology in which it's based. The happiness that realization of this illusion can bring is that of being in a fight and realizing that you are invisible and there is nothing for an enemy to attack.