- Getting your own domain and using a provider such as fastmail or proton is a first step that gives you lots of security fom arbitrary. Because you own the doorstep, you can change provider without having to inform all your contacts of the move. You're also more secure from unilateral moves from your provider.
-Hosting your own mail server means that you are responsible for the persistence of your mail. It's a nice artisanal thing to do, and you may be satisfied to know that no one is reading your mail.
-Sending your mail yourself is the real hard part, because you need a stable IP that is accepted as a legitimate mail sender. Moreover, you need to monitor this property in the long term. Every mail server has their own way to choose who is a legitimate mail sender, and it's an ongoing pain to check that.
You're not forced to go all the way, you can simply pick a domain to secure the frontdoor, or you can host your mail server without sending mail by yourself, etc. You can also self-host, and change your mind later without much impact.
I personally would incite everyone to do at least #1 for safety reasons, #2 if you want to fiddle with the system to know how it works, and to avoid #3.