Kylo Ren is not a Sith and he does have a master.
Another answer references that Kylo Ren may be self taught but that is incorrect. Since you used Kylo Ren as an example I will focus on him.
Your question confused me a bit since I think you're making the assumption that a wielder of the dark side of the force has to be a sith or a sith in training. I am not going to go through the litany of different types of force wielder after all who'd remember to include the Ones(father, son, and daughter, son is clearly a dark side force wielder and perhaps the darkside flows from or through him somehow), dark jedi, sisters, etc.
Supreme Leader Snoke played by Andy Serkis is Kylo Ren's master and a powerful figure of the Dark Side of the Force.
Kylo Ren above
Supreme Leader Snoke above (Kylo Rens Master)
As far as whether or not you have to learn the force from a master, the answer is no.
Treya for example learned from artifacts as mentioned in another answer. Anakin was already seeing the future, had accelerated response time, etc. before ever meeting Qui Gon Jinn.
As far as Sith in particular, there is the rule of two which was instituted by Darth Bane. After that rule was instituted there was always a master and a student, with the student eventually overtaking the master. Each Sith after Darth Bane was trained by a master until 67 BBY at which point it was annulled. Then sidious tried for a rule of one being completely power hungry. http://starwars.wikia.com/wiki/Rule_of_Two.
Before Darth Bane's rule, the Sith were a larger order, with infighting, including the Sith Wars. So each sith would have been trained by other sith since there were many around.
As for the original sith master. The sith were created when dark jedi left the jedi order to form the sith order. Originally sith had to do with a race of red skinned humanoids. So there wasn't a single first sith master of the dark side who taught himself, they were a group who left together, trained by Jedi. http://starwars.wikia.com/wiki/Sith_(language)
I felt like some of the other answers were lacking and that the question was a bit confusing. I hope this helped to clarify things a bit.