Begin by exporting the necessary data from Auth0. Log into your Auth0 dashboard, navigate to the "Users" section, and use the export function to download user data. Choose the CSV or JSON format for ease of processing, as these are commonly supported formats.

Install DuckDB on your local machine. DuckDB is a lightweight database and can be easily installed using package managers like `pip` for Python or directly via binaries from the DuckDB website. Ensure DuckDB is set up correctly by running some basic queries in its shell or through a Python script.

Depending on the format exported (CSV or JSON), you may need to preprocess the data to match your DuckDB schema. If CSV, ensure headers match your DuckDB table structure. If JSON, you might need to convert it to a CSV format or transform it using a scripting language like Python to structure it appropriately.

Define the schema in DuckDB that matches the structure of your Auth0 data. Launch DuckDB and use the `CREATE TABLE` SQL command to set up tables with appropriate columns and data types that reflect the data structure of your exported Auth0 file.

Use DuckDB’s built-in command-line interface or a Python script to load the exported and preprocessed data into your DuckDB database. For CSV files, you can use the `COPY FROM` command like this:
```sql
COPY your_table FROM 'path/to/your_file.csv' (DELIMITER ',', HEADER TRUE);
```
Adjust the path, table name, and options appropriately.

After loading the data, perform checks to verify that the data has been imported correctly. Run SELECT queries to count records, check for null values, and ensure data types are consistent with expectations. This step ensures that the migration process did not introduce any errors.

Once the initial setup is complete and verified, consider writing a script (using Python or another scripting language) that automates the export, transformation, and loading process. This script can be scheduled using cron jobs or another scheduling tool, making future data transfers seamless and efficient.

By following these steps, you can successfully move data from Auth0 to DuckDB without relying on third-party connectors or integrations, ensuring a controlled and customized data migration process.