It's definitely not easy, and that's why we're renting our arch. If you want to make it and bring it yourself, I'd recommend weighing it down somehow - I've seen people use buckets of cement at the bottom to hold it in place, which you can dress up and make look a lot nicer than buckets of cement. As for transportation, you're probably going to need a truck, and the arch/backdrop is probably going to have to be able to be disassembled. And depending on your venue, you might have to tear it down after the wedding. If you're up it and you know people with vehicles big enough to haul things that would be willing to help you, I'd say go for it. Otherwise, it might be a good idea to look into rental companies.
We're lucky in that our venue has an arch that they are letting us use for the ceremony. But in your situation, I would definitely consider renting one, as opposed to doing your own. Just the logistics of getting it to your ceremony venue, and then having to be responsible for removing it would be enough of a hassle to stop me from having it. But a rental company will usually deliver, and set it up for you.
I would agree that rental will be easier. We made a chuppah (wedding canopy), using the frame of a portable popup gazebo in order to make it easier to get to the ceremony site and keep it from falling over. However, the ceremony was indoors, so we didn't have to worry about it blowing away. And an arch could be even trickier.