Before you begin, familiarize yourself with the SpaceX API documentation to understand the available endpoints and the data structure. The SpaceX API provides various endpoints such as launches, rockets, and capsules. Identify the endpoints relevant to your data needs.

Install Python on your machine if it"s not already installed. Use a virtual environment to isolate your project dependencies. You can create a virtual environment using the following commands:
```bash
python -m venv spacex-firebolt
source spacex-firebolt/bin/activate # On Windows use: spacex-firebolt\Scripts\activate
```

Use Python libraries to interact with the SpaceX API and Firebolt. Install `requests` for API interaction and `firebolt-sdk` for Firebolt database operations. Run:
```bash
pip install requests firebolt-sdk
```

Write a Python script to fetch data from the desired SpaceX API endpoint. Use the `requests` library to send HTTP GET requests and handle the JSON data. For example:
```python
import requests

response = requests.get('https://api.spacexdata.com/v4/launches')
spacex_data = response.json()
```

Depending on the data structure and your requirements, transform the JSON data into a format suitable for uploading to Firebolt. You might need to normalize nested structures or select specific fields. Use Python data manipulation libraries like `pandas` if necessary.

Log in to your Firebolt account and create the necessary database and tables to store the SpaceX data. Use the Firebolt Console or Python `firebolt-sdk` to execute SQL commands for creating tables that match your data schema.

Write a Python script using `firebolt-sdk` to insert the transformed data into Firebolt. Establish a connection to your Firebolt database and execute insert statements. For instance:
```python
from firebolt.client import Client

client = Client(username='your_username', password='your_password')
connection = client.connect(engine_name='your_engine_name', database='your_database')

# Example insert operation
insert_query = "INSERT INTO spacex_launches (id, name, date_utc) VALUES (?, ?, ?)"
for launch in spacex_data:
connection.execute(insert_query, (launch['id'], launch['name'], launch['date_utc']))
```

By following these steps, you can effectively transfer data from the SpaceX API to Firebolt without relying on third-party connectors or integrations.