No need to roll your own. There are many open source VPN's, proxies and much more. When dozens, hundreds or thousands of people share and forward load balance their traffic across hundreds of self hosted networks it gets a lot harder to perform attestation and attribution. The reason to cycle through many VPN/proxy networks would be the assumption that a percentage of them are vigilante owned and operated.
That's the easy part. The harder part is to encourage people to be fearless, keep their mouth shut and let their lawyers do all the talking.
The term "rolling your own" as it applies to the internet means writing your own code. For example, "rolling your own encryption" would mean writing your own protocols, algorithms, ciphers, hash formulas, etc...
Hosting something on someone else's servers is "server or VPS renting". Self hosting implies running something on your own servers you own and fully control.
So lets run with they mean running it on a VPS. That is still better than all the delicious eggs in one big basket but it's also risky as there is a money trail and most VPS providers can live-clone, live-migrate a VM to capture and perform forensics all memory contents without impacting performance. If going this route I would try to get one of the cheap "gaming" physical servers and try to find a way to pay that is hard to track. One can at least update the firmware, change all the IPMI accounts and lock it down a little bit.
On a bigger scale one can get their own colocation space. KimDotCom for example had a massive colo in Equinix in Ashburn, VA that ran for a very long time.
That's the easy part. The harder part is to encourage people to be fearless, keep their mouth shut and let their lawyers do all the talking.