Use the %ExecutingMacro% token:

Result:

_[test] Set Variable to Macro Name.kmmacros (2.2 KB)
You find the available tokens when you open the Insert Token menu of an action:

Edit/Correction:
%ExecutingThisMacro% is the correct token to get the name of the macro that contains the action
(not %ExecutingMacro%). See the summary below.