He indulged in a glass of wine
If you add 'himself' he becomes the subject of his own act. However, we wish only to describe his act.
As a phrasal verb, 'Indulge in' is probably the most common preposition. I can't think of an example of 'indulge with'.
As a pure verb, you would phrase it like this:
"he considered having a glass of wine, and then decided to indulge himself"