Begin by ensuring you have the necessary tools and software installed. You need Python (or another programming language of your choice), a PostgreSQL database, and the `psycopg2` library for Python, which allows you to connect to PostgreSQL. Install Python packages using pip:
```bash
pip install psycopg2 requests
```

To access the Pexels API, you must have an API key. Register on the Pexels website, navigate to the API section, and generate an API key. Keep this key secure and accessible for making API requests.

Plan the structure of your PostgreSQL database to store the data you will retrieve from the Pexels API. Decide on the tables and their columns. For example, you might create a table named `photos` with columns such as `id`, `url`, `photographer`, and `source`.

Connect to your PostgreSQL server and create a new database if necessary. Then, within this database, execute SQL commands to create the table(s) based on your schema design. Use a tool like `psql` or any PostgreSQL client:
```sql
CREATE DATABASE pexels_db;
\c pexels_db
CREATE TABLE photos (
id SERIAL PRIMARY KEY,
url VARCHAR(255),
photographer VARCHAR(100),
source VARCHAR(255)
);
```

Write a script in Python to make HTTP GET requests to the Pexels API endpoint to retrieve the data. Use the `requests` library to handle API requests, and include your API key in the headers:
```python
import requests

API_KEY = 'your_pexels_api_key'
url = 'https://api.pexels.com/v1/search?query=nature&per_page=10'
headers = {'Authorization': API_KEY}

response = requests.get(url, headers=headers)
data = response.json()
```

Extract the necessary data from the API response and prepare it for insertion into the PostgreSQL table. This involves iterating over the JSON response and formatting it to match your database schema:
```python
photo_data = []
for photo in data['photos']:
photo_data.append((photo['url'], photo['photographer'], photo['src']['original']))
```

Establish a connection to the PostgreSQL database using `psycopg2`, and execute an `INSERT` statement to add the data into the table. Use parameterized queries to prevent SQL injection:
```python
import psycopg2

conn = psycopg2.connect(
dbname='pexels_db',
user='your_username',
password='your_password',
host='localhost'
)
cursor = conn.cursor()

insert_query = "INSERT INTO photos (url, photographer, source) VALUES (%s, %s, %s)"
cursor.executemany(insert_query, photo_data)
conn.commit()

cursor.close()
conn.close()
```

By following these steps, you can transfer data from the Pexels API directly into your PostgreSQL database without using any third-party connectors or integrations.