I'm most interested in the second wave of British Romanticism, which includes Lord Byron, John Keats, and the two Shelleys, although feel free to address my question with regard to Wordsworth, Coleridge, Southey, etc., too. I seem to remember reading that Byron disliked the term Romantic (which I recall had none of the lovey-dovey connotations it does today, and was basically a synonym of "novelesque," just as "romance" and "novel" seem to have been synonyms at the time based on the subtitles I've seen for Gothic novels of the period). If not Romantics, what would they have called themselves, if anything? Did they have a sense of being part of a common literary movement, apart from the fact that they pretty much all knew each other?
Although they didn't label themselves as 'Romantics', they all saw themselves in opposition to the neoclassical artistic movements that preceded them, instead concerning themselves with ideas of freedom , revolution and personal expression.
"Today the word ‘romantic’ evokes images of love and sentimentality, but the term ‘Romanticism’ has a much wider meaning. It covers a range of developments in art, literature, music and philosophy, spanning the late 18th and early 19th centuries. The ‘Romantics’ would not have used the term themselves: the label was applied retrospectively, from around the middle of the 19th century." Source
The second-generation Romantics were definitely more conscious of providing 'democratic poetry', as Byron, Shelley and Keats felt that Wordsworth had 'sold out' to the Establishment and, Byron especially, involved themselves in politics.