A model of self-heating is incorporated into a cellular Monte Carlo (CMC) particle device simulator. This is done through the solution of an energy balance equation (EBE) for phonons, which self-consistently couples charge and heat transport in the simulation. First, several tests are performed to verify the applicability and accuracy of the proposed nonlinear iterative solver in the presence of convective boundary conditions, as compared to a finite element analysis (FEA) solver as well as using the Kirchhoff Transformation. Finally, a fully coupled electro-thermal characterization of a GaN/AlGaN high electron mobility transistor (HEMT) is performed, and the effects of nonideal interfaces and boundary conditions are studied.