if I know thats the ONLY icon I will be using for some projects, would it be better to download the icon and reuse it, or would it still be faster and more efficient to use Font Awsome?
For a single or a few small icons, there shouldn’t be much difference. So “better” would be what you prefer from a workflow perspective.
Using a CDN can be faster because they have servers all over the world and can serve the resources from a server that is located closer to the user.
If you can get the icon as SVG using it inline is always an option. That way, all you serve is the page and you do not request external resources. The browser does all the work of rendering the icon (SVGs are basically just math).
Font Awesome has SVG code you can copy and use directly inline. Personally, that is what I would do for a single or a couple of icons. Just use it inline.