Begin by exporting the required data from Customer.io. Log into your Customer.io account, navigate to the relevant data export section, and choose the data you need. You might need to export data in CSV or JSON format, depending on your requirements and what Customer.io supports.

Ensure your local environment is set up to handle the data export. This includes having necessary software like Python or any other scripting language installed to process the data. Additionally, install DuckDB if it isn't already on your system. DuckDB can be installed via package managers like `pip` with the command `pip install duckdb`.

If your exported data is not already in CSV or JSON format, convert it into one of these formats. Use data processing tools or scripts (e.g., Python with pandas library) to convert the data. This step ensures that the data can be easily loaded into DuckDB since it supports these common data formats.

Launch DuckDB and create a new database to store the imported data. You can do this by running the command `duckdb my_database.duckdb` in your terminal or command prompt. This will create a new DuckDB file where your data will be stored.

Use DuckDB's SQL interface to load your CSV or JSON file into the database. For example, if you have a CSV file, you can use the following command in DuckDB:
```sql
COPY my_table FROM 'path/to/your/file.csv' (AUTO_DETECT TRUE);
```
This command will create a table `my_table` and load data from the specified file path. Adjust the table name as needed.

After loading the data, verify its integrity by running queries in DuckDB to ensure that the data has been imported correctly. For example, you might want to check the count of rows or some sample data:
```sql
SELECT COUNT(*) FROM my_table;
SELECT * FROM my_table LIMIT 10;
```
This step helps identify any potential issues during the data import process.

If you need to move data from Customer.io to DuckDB regularly, consider writing a script to automate the export, conversion, and import processes. You can use a scripting language like Python to create a script that performs all these steps. Schedule this script using a cron job (Linux) or Task Scheduler (Windows) for regular execution, ensuring your DuckDB database is always up-to-date.