Start by logging into your Mailjet account, and navigate to the SMS section. Locate the data you wish to export, such as message logs or contact lists. Use Mailjet's export feature to download the data in a CSV format, which is a commonly supported format for data handling.

Ensure you have a local environment set up with Python, as it will be used to process and insert data into DuckDB. Install DuckDB by running `pip install duckdb` in your terminal or command prompt. This setup will allow you to interact with DuckDB directly from your Python scripts.

Use Python's `pandas` library to read the exported CSV data. If you haven't already, install pandas using `pip install pandas`. Then, create a Python script to load the CSV:
```python
import pandas as pd

df = pd.read_csv('path_to_your_mailjet_sms_data.csv')
```

Open a Python script or interactive shell, and import DuckDB. Create a new DuckDB database file and a table structure that matches the columns in your CSV file:
```python
import duckdb

conn = duckdb.connect('my_sms_data.duckdb')
conn.execute('''
CREATE TABLE IF NOT EXISTS sms_data (
id INTEGER,
recipient VARCHAR,
message TEXT,
status VARCHAR,
sent_at TIMESTAMP
)
''')
```

Before inserting the data into DuckDB, ensure that the data types in your pandas DataFrame match those defined in your DuckDB table. You might need to convert date fields and ensure numerical types are correctly formatted.

Use the `to_sql` method provided by DuckDB to insert data from the pandas DataFrame into the DuckDB table:
```python
conn.execute("INSERT INTO sms_data SELECT * FROM df")
```
This command inserts all records from the DataFrame into the DuckDB table.

After inserting the data, perform a few queries to verify that the data has been correctly inserted. You can use simple SELECT statements to check:
```python
result = conn.execute("SELECT * FROM sms_data LIMIT 5").fetchall()
print(result)
```
This will print a few rows from your DuckDB table, allowing you to manually verify that the data looks correct.

By following these steps, you can effectively transfer data from Mailjet SMS to DuckDB without relying on third-party connectors or integrations.