I\'m not clear on the difference between a CA key and a certificate. Isn\'t a CA key simply a certificate? Let me try and clarify with an example.
I have a client
Both options are valid, option 2 is simpler.
Option 1 (setting up your own CA) is preferable when you need multiple certificates. In a company you might set up your own CA and install that CA's certificate in the root keystore of all clients. Those clients will then accept all certificates signed by your CA.
Option 2 (self-signing a certificate without a CA) is easier. If you just need a single certificate, then this is sufficient. Install it in the keystores of your clients and you are done. But when you need a second certificate, you need to install that again on all clients.
Here is a link with further information: Creating Certificate Authorities and self-signed SSL certificates