It means to do things yourself in your own way, heedless of the correct, official, approved, or bureaucratic way that is recommended. It's often associated with impatience at having to do things in the correct (but more difficult) way. Also, "to take matters into one's own hands".
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AnonymousDo you mean 'take matters into one's own hands' and 'take things into one's own hands' are the same thing?Yes. The meaning is the same.