The definitions are subjective, no one will be able to give you an absolute answer. That said, this is what I understand them to mean:
Wizard - Simply means wise, from middle English. Often used to describe practitioners of ceremonial magic.
Mage - Old Persian, refers to a priest of Zoroastrianism.
Sorcerer - From Old French or Middle English, though the root seems to be from the latin for fate. Not really specific, although has connotations of envoking and darker magics.
Warlock - Sometimes used as a male equivalent of witch, though many believe this to be incorrect or even offensive. This can be accounted for by the fact that it translates to 'oath-breaker' in Scottish, but some theorize it to originate from the Norse for 'caller of spirits'. It was later used by Christianity as an insult for a practitioner of any kind.
Does it make any real difference what you call yourself? Not really, though people will always be quick to correct you if they think you're using words incorrectly. Labels don't define who you are, or the actions you take.