Cooperation among wireless nodes has been recently proposed for improving the physical layer (PHY) security of wireless transmission in the presence of multiple eavesdroppers. While existing PHY security literature answered the question “what are the link-level secrecy rate gains from cooperation?”, this paper attempts to answer the question of “how to achieve those gains in a practical decentralized wireless network and in the presence of a cost for information exchange?”. For this purpose, we model the PHY security cooperation problem as a coalitional game with non-transferable utility and propose a distributed algorithm for coalition formation. Through the proposed algorithm, the wireless users can cooperate and self-organize into disjoint independent coalitions, while maximizing their secrecy rate taking into account the security costs during information exchange. We analyze the resulting coalitional structures for both decode-and-forward and amplify-and-forward cooperation...