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Note: You may also connect using IPsec/XAuth mode, or set up IKEv2.
After setting up your own VPN server, follow these steps to configure your devices. IPsec/L2TP is natively supported by Android, iOS, OS X, and Windows. There is no additional software to install. Setup should only take a few minutes. In case you are unable to connect, first check to make sure the VPN credentials were entered correctly.
An alternative setup guide with images is available, written by Tony Tran.