First, ensure you have an AWS account and the necessary permissions to create and manage resources like DynamoDB tables. You can do this by logging into the AWS Management Console and setting up IAM roles with appropriate policies to access DynamoDB.

Navigate to the DynamoDB service in the AWS Management Console. Create a new table by specifying a table name and a primary key (partition key). For exchange rates, you might choose a combination like `currency_code` as the partition key and `date` as the sort key, depending on your data needs.

Use a programming language such as Python to write a script that fetches data from the exchange rates API. You can use libraries like `requests` to send HTTP GET requests to the API endpoint and retrieve the JSON data. Ensure that you handle any authentication required by the API.

Once you have the API response, parse the JSON data to extract the relevant exchange rate information. You might need to transform this data into a format suitable for DynamoDB, matching the table's schema. For example, ensure each entry has the necessary attributes like `currency_code`, `date`, and `exchange_rate`.

Install and configure the AWS SDK for your programming language (e.g., Boto3 for Python). Set up your AWS credentials in your development environment by configuring the AWS CLI or directly in the SDK. This will allow your script to interact with DynamoDB.

Use the AWS SDK to write the parsed and transformed data to your DynamoDB table. You can use the `put_item` method to insert each record. Ensure you handle exceptions and errors, such as conditional checks or throughput limits, to maintain data integrity and performance.

To regularly update your DynamoDB table with the latest exchange rates, automate the script using a scheduler. If you're using AWS, you can deploy your script as an AWS Lambda function and use Amazon CloudWatch Events to trigger it at regular intervals. Alternatively, use a cron job if you're running the script on a local server.

By following these steps, you can efficiently transfer data from an exchange rates API to DynamoDB without relying on third-party connectors or integrations.