A classical thought-experiment to destroy black holes was envisaged by Wald in 1974: it consists of throwing particles with large angular momentum into an extremal black hole, checking whether their capture can over-spin the black hole past the extremal limit and create a naked singularity. Wald showed that in the test-particle limit, particles that would be otherwise capable of producing naked singularities are simply scattered. Recently Jacobson and Sotiriou showed that if one considers instead a black hole that is almost, but not exactly extremal, then in the absence of backreaction effects particle capture could indeed over-spin the spacetime above the Kerr limit. Here we analyze back-reaction effects and show that for some of the trajectories giving rise to naked singularities, radiative effects can be neglected. However, for these orbits the conservative self-force is important, and seems to have the right sign to prevent the formation of naked singularities.