Before you start, familiarize yourself with the exchange rates API you are planning to use. Read the documentation to understand the endpoints available, the data format (usually JSON or XML), authentication requirements (like API keys), and any rate limits that might apply.

Use a scripting language such as Python to make HTTP requests to the exchange rates API. You can use Python"s `requests` library to send a GET request to the API endpoint. Store the response data in a variable, and ensure you handle any HTTP errors by checking the response status code.

```python
import requests

url = "https://api.exchangeratesapi.io/latest"
response = requests.get(url)

if response.status_code == 200:
data = response.json()
else:
raise Exception("Error fetching data from API")
```

Once you have fetched the data, transform it into a format suitable for Firebolt. If the API returns data in JSON, you might need to extract specific fields and structure them into a tabular format. Use Python"s `pandas` library to create a DataFrame as an intermediary step.

```python
import pandas as pd

rates = data.get('rates', {})
df = pd.DataFrame(list(rates.items()), columns=['Currency', 'Rate'])
df['Date'] = data.get('date')
```

Set up your Firebolt environment by creating a database and a table if you haven't already. Use Firebolt SQL commands to define the schema that matches your transformed data. This could be done using a SQL client connected to your Firebolt account.

```sql
CREATE TABLE exchange_rates (
Currency STRING,
Rate DOUBLE,
Date DATE
);
```

Export the DataFrame to a CSV file which will then be used to load data into Firebolt. Ensure the CSV file is properly formatted and saved in a location accessible by your script.

```python
df.to_csv('exchange_rates.csv', index=False)
```

Use Firebolt"s ingestion capabilities to upload the CSV file. Firebolt supports loading data from files via SQL commands. Use the Firebolt CLI or a compatible SQL client to execute the `COPY` command.

```sql
COPY INTO exchange_rates
FROM 's3://your-bucket/exchange_rates.csv'
AUTHENTICATION (AWS_KEY_ID = 'your-key-id', AWS_SECRET_KEY = 'your-secret-key')
FILE_FORMAT = (TYPE = CSV);
```

Ensure your CSV file is available in a storage location accessible by Firebolt, such as an S3 bucket.

After the data is loaded into Firebolt, run a simple query to verify that the data is present and correct. This will ensure that the data transfer process was successful and that your data is accurate.

```sql
SELECT * FROM exchange_rates LIMIT 10;
```

Check the results to make sure the data matches what you expect from the API.

By following these steps, you can effectively transfer exchange rate data from an API to Firebolt without using third-party connectors or integrations.