I'm curious - why would you want to host these yourself? Don't your users then lose the benefit of caching (e.g. if they also visit other sites which use the same fonts).
You can, for example, use Google with a local fallback, for better reliability. (their CDN will fail at some time)
It also removes a dependency on a 3rd party source.
Web performance is complicated though and all the pros and cons interact in non-intuitive ways. A comparison of self-hosted, inexpensive CDN hosted, and original Google hosted may provide some performance surprises.
If you're using anything outside of the, say, top 20 most popular fonts - users aren't going to get any benefit from the caching.
In general keeping the number of dependencies down is a good thing to do.