Hi there,
I'm not sure how you implemented it, but I'm sure the instructions provided in this URL https://google-webfonts-helper.herokuapp.com/fonts/lato?subsets=latin are correct. Please provide your site's URL where you implemented this.
But I don't see any point doing this, the browser still needs to download the font to render it, either from your site or from Google. Personally, I prefer it to be hosted it in google since it acts like CDN and Cloud hosting which obviously faster than self-hosted files.
Thanks!