I'm not MtF but I've had several friends who are/were. All of these things entirely depend on you and what routes you take in your transition! The stronger and easier it is for you to orgasm right before bottom surgery, the stronger and easier it will be once you're all done and healed up. Doctors take extra precaution to make sure you don't lose sensation, but in rare cases it happens.
Bottom surgeries for MtFs are far better than those available for FtMs, the finished product often looks very realistic. The neovagina is self lubricating ONLY if you get the surgery that uses a section of your colon (it will be the same natural lubrication that your butt produces, which is a bit different from natural vaginal lubricant but that's not really a problem.), if you get a different surgery type (the more commonly used, where the penis is basically inverted to create the vaginal canal, or the rarer, where thigh or arm skin is used if other techniques fail) it won't be self lubricating. But, some MtFs claim theirs becomes self lubricating years after surgery.
Cost entirely depends on the doctor you go to, what surgery you get, where you live, what insurance you have and your body, but expect between 10-30k.
I hope this helps!