Unfortunately, the penalties for making a prohibited transaction in your Self-Directed IRA can be quite stiff. This can be a total distribution of your IRA if you do not comply, which for a Traditional IRA, can mean increasing your taxable income by the entire value of the IRA.
If you are below 59 1/2, this could mean paying an early distribution 10% penalty as well.
This applies only to the IRA in question. If you commit a prohibited transaction in one IRA, the others will be safe from distribution.
For Self-Directed 401(k)s the penalty of 15% can be applied to your plan for a prohibited transaction. Failure to comply or fix a mistake could mean the distribution of your entire plan.