What is Iqbal’s concept of "khudi" (self) according to you ? How important it is to know/find "khudi" in life?

Well yeah this cannot be defined in one answer. But there is another famous couplet which sort of defines khudi's application.
Apne mann mai doob k pa ja soragh-e-zindagi
Tu mera nahi banta na ban, apna tu ban
The concept of Iqbal is discussed so much everywhere but never achieved or practiced...

Khudi is way abstract,simpletons(as I consider me) can somehow know/find it,but to describe it needs a mastermind,still explanation of it needs one more Iqbal.
*khudi ki jalwaton mein kibriya, khudi ki khalwaton mein mustafai
zameen o aasaman o arsh o kursi, khudi ki zadd mein hai sari khudai*
Khudi ka sirr-e-nihaaN La ilaha il Allah
khudi hai tegh-e-fasaaN La ilaha il Allah
Khudi is divine,as pronouncing ALLAH's names induces in us qualities of that name,so is the case here.
Mystery of khudi is in "la ilah il Allah"Iqbal says.So try it,the more you're in,the more you get it!

Seeing the apathy of Muslims. Allama Iqbal (RH) what really meant was to rise-up and know what we really are. He wanted to make us aware of th fact that we are the ummati of Prophet Muhammad (SAWS). Instead of mocking others, he wanted us to make our own road. This shair aptly describes my answer >> Wo faraib kurda shaheen jo pala ho kargazo mein ; Usey kya khabar ki kya hai, raho-o-rasmey shahbaazi! (Shaheen/Shabaaz - Eagle ; Kargaz - Vulture)

Khudi Ki Parwarish-o-Tarbiat Pe Hai Moqoof
Ke Musht-e-Khak Mein Paida Ho Atish-e-Hama Souz

If self is bred with perfect care, Such force and strength it can acquire
That handful dust of man with ease can set untruths and wrongs afire.

ghamme duniya se dur Goshay e tanhai mai, khudi ki talash mai khuya betha hau :-) Own Written poerty.