The propagation of self-localizing beams of electromagnetic waves in the form of nonlinear waveguides in a slightly inhomogeneous medium is studied analytically and numerically. The trajectories of the axial ray are studied as a function of its direction and the field strength at the initial point on the basis of a nonlinear scalar Helmholtz equation. Analytic expressions are derived. The longitudinal refractive index, the field intensity, and the waveguide radius are plotted as functions of the instantaneous position of the point on the axial ray. Deep penetration of the beam into the opaque region and the position of the screening surface are studied as functions of the parameters of the beam and the medium. A steady-state 3D problem is analyzed for a power-law nonlinearity with an arbitrary power. A 2D problem is analyzed for the case of a ponderomotive nonlinearity with saturation.