If you don't mind trusting another company with forwarding your emails, it's definitely less hassle to set up an equivalent service for yourself.
If you mean "set up an equivalent service" under your own domain, that's both less private and more likely to be blocked; there are a lot of services which, unfortunately, only allow sign-ups from big, well-known domains.
You can sort of do this today with iCloud. Add a custom domain and enable the catch-all forwarding, and you can receive [email protected] and it’s forwarded to you.
What you’d lose is the reply-to forwarding feature.