First, you need to set up access to the GoCardless API. Log into your GoCardless account and navigate to the "Developers" section. Here, you can create an API key. Make sure to store this key securely as it will be used to authenticate your requests.

Ensure you have a command-line tool like `curl` or a programming environment that supports HTTP requests, such as Python. If using Python, install the `requests` library via pip with the command: `pip install requests`.

Use your API key to authenticate requests to GoCardless. For example, with `curl`, you can use the `-u` option as follows: `curl -u [YOUR_API_KEY]: https://api.gocardless.com/payments`. In Python, you can set the `Authorization` header as: `headers = {"Authorization": "Bearer [YOUR_API_KEY]"}`.

Identify the specific endpoint you need to retrieve the data, such as `/payments` or `/customers`. Send a GET request to this endpoint using your authenticated setup. This will return the data in JSON format. For example, in Python: `response = requests.get("https://api.gocardless.com/payments", headers=headers)`.

Once you have the response, parse the JSON data to verify its structure and ensure that you have the data you need. In Python, you can do this with `data = response.json()`.

With the parsed data in hand, convert it into a JSON file format and save it locally. You can do this using Python's `json` module. For example:
```python
import json
with open('gocardless_data.json', 'w') as json_file:
json.dump(data, json_file, indent=4)
```
This will create a file named `gocardless_data.json` in your local directory containing the data retrieved from GoCardless.

Finally, verify the contents of the JSON file to ensure all data has been accurately captured. Open the file with a text editor or JSON viewer. Additionally, ensure the file is stored securely, especially if it contains sensitive customer information. Adjust file permissions as necessary to prevent unauthorized access.

By following these steps, you can efficiently transfer data from GoCardless to a local JSON file without using any third-party connectors or integrations.