Im in the US since april under the O1 Visa. I have a sponsor who I work for as an independent contractor. Which tax forms should I fill? Am I considered self employed?

If your sponsor has not withheld any taxes from your compensation, then yes, you are self employed.  I think you would fill out a 1040 income tax form and your income and expenses would be listed on a Schedule C since you are a sole proprietor of your business.