Hello everyone,
I created this mini-plugin over the weekend as I needed a solution for my clients after a german court recently ruled the use of Google Fonts (if not self-hosted) to be violating GDPR. It is safe to assume similar sentences would be applied to embedding Fontawesome via CDN (no legal advice).
So far it contains only the most recent version of Fontawesome fonts (v6.0.0). This, however, should be sufficient, as a client’s site that was still on v5.x.x still worked so it appears to be backwards-compatible.
Moving forward, I will likely add a new plugin/folder in the Github repository when v7.x.x is released, or when an upgrade makes sense.
This has been tested with WordPress 5.9 (today). USE AT OWN RISK!
Github Link: Click
For those too lazy, there is a pre-compiled ZIP of the plugin:
For Version 6.0.0: https://k00.fr/8lc8mebm | password: 461827
How to use:
1. Clone the repository and .zip the folder corresponding to the version of FontAwesome Fonts you want (e.g. fa-v600-local stands for version 6.0.0.).
2. Upload Plugin to WordPress.
3. Activate Plugin
4. Use according to the FontAwesome syntax that applies to your version (e.g. for v 6.0.0: https://fontawesome.com/v6/docs).
If you run into any errors pm me or open an issue at Github 
Enjoy!
If you are bored: Care to test if it works for you guys, too?