We find a slightly different rendering in the Pali Mahāparinibbāna Sutta where it says:
"Therefore, Ānanda, be islands unto yourselves, refuges unto yourselves, seeking no external refuge; with the Dhamma as your island, the Dhamma as your refuge, seeking no other refuge. (Tr. vipassana.com)
Tasmātihānanda, attadīpā viharatha attasaranā anaññasaranā, dhammadīpā dhammasaranā anaññasaranā.
How does this injunction from the Buddha square with Vajrayana in general?
It might be helpful to put this saying in context. (See "Maha-parinibbana Sutta: Last Days of the Buddha" (DN 16), translated from the Pali by Sister Vajira & Francis Story. Access to Insight, 17 February 2012, http://www.accesstoinsight.org/tipitaka ... .vaji.html
. Retrieved on 8 April 2012.). The Buddha, who is now in his eightieth year, became very seriously ill, and was clearly dying. Ananda begged him to remain alive for the sake of the Sangha and, acceeding to Ananda's pleas, the Buddha deferred his parinibbana at that time. Ananda expresses his relief:
(Part Two) 31..."Then the Venerable Ananda approached the Blessed One, respectfully greeted him, and sitting down at one side, he spoke to the Blessed One, saying: "Fortunate it is for me, O Lord, to see the Blessed One at ease again! Fortunate it is for me, O Lord, to see the Blessed One recovered! For truly, Lord, when I saw the Blessed One's sickness it was as though my own body became weak as a creeper, every thing around became dim to me, and my senses failed me. Yet, Lord, I still had some little comfort in the thought that the Blessed One would not come to his final passing away until he had given some last instructions respecting the community of bhikkhus."
32. Thus spoke the Venerable Ananda, but the Blessed One answered him, saying: "What more does the community of bhikkhus expect from me, Ananda? I have set forth the Dhamma without making any distinction of esoteric and exoteric doctrine; there is nothing, Ananda, with regard to the teachings that the Tathagata holds to the last with the closed fist of a teacher who keeps some things back. Whosoever may think that it is he who should lead the community of bhikkhus, or that the community depends upon him, it is such a one that would have to give last instructions respecting them. But, Ananda, the Tathagata has no such idea as that it is he who should lead the community of bhikkhus, or that the community depends upon him. So what instructions should he have to give respecting the community of bhikkhus?
"Now I am frail, Ananda, old, aged, far gone in years. This is my eightieth year, and my life is spent. Even as an old cart, Ananda, is held together with much difficulty, so the body of the Tathagata is kept going only with supports. It is, Ananda, only when the Tathagata, disregarding external objects, with the cessation of certain feelings, attains to and abides in the signless concentration of mind,  that his body is more comfortable.
33. "Therefore, Ananda, be islands unto yourselves, refuges unto yourselves, seeking no external refuge; with the Dhamma as your island, the Dhamma as your refuge, seeking no other refuge."And how, Ananda, is a bhikkhu an island unto himself, a refuge unto himself, seeking no external refuge; with the Dhamma as his island, the Dhamma as his refuge, seeking no other refuge?
34. "When he dwells contemplating the body in the body, earnestly, clearly comprehending, and mindfully, after having overcome desire and sorrow in regard to the world; when he dwells contemplating feelings in feelings, the mind in the mind, and mental objects in mental objects, earnestly, clearly comprehending, and mindfully, after having overcome desire and sorrow in regard to the world, then, truly, he is an island unto himself, a refuge unto himself, seeking no external refuge; having the Dhamma as his island, the Dhamma as his refuge, seeking no other refuge.
35. "Those bhikkhus of mine, Ananda, who now or after I am gone, abide as an island unto themselves, as a refuge unto themselves, seeking no other refuge; having the Dhamma as their island and refuge, seeking no other refuge: it is they who will become the highest,  if they have the desire to learn."
Viewed in context, being a refuge to oneself, seeking no external refuge, involves faithful adherence to the path to liberation taught by the Buddha, that is to say, the Dhamma/Dharma, and not seeking a path outside the Buddha's dispensation. Fidelity to the word and practice of the Dhamma/Dharma is fidelity to the Buddha, taking refuge in the Buddha. Later in the Sutta, in Part Five, 6, when the Buddha is reclining in preparation for his parnibbana, he says:'Ananda, whatever bhikkhu or bhikkhuni, layman or laywoman, abides by the Dhamma, lives uprightly in the Dhamma, walks in the way of the Dhamma, it is by such a one that the Tathagata is respected, venerated, esteemed, worshipped, and honored in the highest degree. Therefore, Ananda, thus should you train yourselves: 'We shall abide by the Dhamma, live uprightly in the Dhamma, walk in the way of the Dhamma.'"
The Buddha is exhorting the Sangha, and it is the members of the Sangha qua members of the Sangha rather than unreconstructed individuals who are exhorted to be islands or lamps to themselves. Fidelity to the Buddha through the hearing and faithful practice of the Dhamma/Dharma are constitutive of the Sangha. Viewed in context, abiding as a refuge unto themselves (that is, as the Arya-sangha), seeking no other refuge, thus turns out to be refuge in the triple gem, and is most certainly not a warrant for going it alone outside the context of the dispensation, in which teachings have a pedigree, coming through the lineage.
I hope that this makes sense.