It's only going to get more difficult to switch to another email provider as time passes, you should switch now.
I've been running that setup for a few years now and it has been flawless. Spam is almost entirely gone, with a catch-all address I can simply sign up to websites with <website name>@mydomain, makes it easy to track down if one of them ends up doing shady things with your mail!
Should I go for firstname.lastname@hardtochooseamongwhatsleftdomain.com or mail@firstnamelastname.com ?
The mail@firstnamelastname.com approach seems like a clean way to do it as well.