But wouldn't the lack of oxygen still kill me? Say if I put the bag on, tied it and then tied my hands together?
The difficulty lies in what's called hypercapnic alarm: once the CO2 builds up in your bloodstream, you won't have any choice but tear yourself out of the bag, whether or not your hands are tied. It's an instinctual response. The failure of this method has nothing to do with the physical discomfort --having intentionally triggered the hypercapnic alarm to see what it's like, I can tell you that by the time it starts to kick in it's mentally unpleasant more than physically painful-- so much as the instinctive mind fighting for survival. Your pain threshold will have nothing to do with your inevitable failure.
If you want to try, by all means go ahead. You'll no doubt find the experience instructional. But don't make any plans for success, because it's 99.99% likely you won't succeed. It'll be an educational way for you to spend the evening, will probably make you feel even worse about yourself than you do now (failures are both exhausting and demoralizing), and with this attempt in your memory may make it even more difficult to overcome your Survival Instinct later when you decide to research and implement a more realistic plan.
If you feel like reporting back on your experience, I'm sure the collective knowledge base here on the forum will benefit from a write up.
(Sorry to be crabby, but your question is getting a universal response of "it's a bad idea/it won't work," a cursory search of the forum will educate you in
why it's a reliably bad idea, and yet you persist in pursuing it.)