I doubt that's the better way. How is self-hosting helping with the paranoia vs. using Mullvad?

I don't really see how it's more secure to run some software that you haven't audited on a VPS somewhere at a provider you haven't audited. I'd trust a company with resources to run their own hardware, investing into a more secure setup [1] and contributing to more open infrastructure [2] much more than I trust myself to run something securely which isn't my sole occupation.

[1] https://mullvad.net/en/blog/2022/1/12/diskless-infrastructur...

[2] https://mullvad.net/en/blog/2019/8/7/open-source-firmware-fu...