Recent advances in large pretrained language models have increased attention to zero-shot text classification. In particular, models fine-tuned on natural language inference datasets have been widely adopted as zero-shot classifiers due to their promising results and off-the-shelf availability. However, the fact that such models are unfamiliar with the target task can lead to instability and performance issues. We propose a plug-and-play method to bridge this gap using a simple self-training approach, requiring only the class names along with an unlabeled dataset, and without the need for domain expertise or trial and error. We show that fine-tuning the zero-shot classifier on its most confident predictions leads to significant performance gains across a wide range of text classification tasks, presumably since self-training adapts the zero-shot model to the task at hand.