This heavily depends on where you live and how your local jurisdiction deals with piracy.

What’s the worst that can happen if I don’t use a VPN while pirating?

For example, torrenting, especially seeding, has a good chance of getting you fined in Germany.

Are free tier VPNs (like Proton VPN) good enough?

Usually not or they are so limited that they are only viable for very small scale piracy.

I don’t want to pay much or anything for a VPN, is a way I can get a good free one, or set one myself somehow (I have experience with selfhosting) ?

If you run a server at home it's still using your public IP, so a personal VPN (you connecting to your own server) really doesn't help.

If not, which cheap one do you recommend?

Most VPNs are pretty cheap on monthly basis if you sign up for a couple of years. I'm currently using NordVPN (which is like $3 a month). But If I'd have to pick a new provider at this time I'd go with Mullvad.