...and that's not such an easy task when you want you VPN to be self-hosted and independant. See the 12 steps over 2 servers described here.
However I could find a much easier solution when you have some server that you can each easily.
1. Install OpenVPN on your server
No surprise, we'll install OpenVPN on a server. Well, the very easy way is to use OpenVPN-Install (easy as running `wget https://git.io/vpn -O openvpn-install.sh && bash openvpn-install.sh` on your server).
Download the ovpn file from the server.
2. Install an OpenVPN client
On a Mac, just download and install the latest dmg release of TunnelBlick.
Now open the ovpn file with TunnelBlick and eventually configure to your need.
On an iPhone, download OpenVPN Connect, transfer you ovpn from your laptop to your phone (using AirDrop works just fine). It will open your ovpn file with the app.
I had procrastinated using a VPN for a while and 3rd party VPN were not an option I wanted to take.
OpenVPN-install has been the key to finally move forward!