I hear from somewhere that you can have something that are not .bsky.social on the username, is it hard to achieve it?

Not difficult at all! Details here: bsky.social/about/blog/4...

As far as I know, you need to have a registered website domain and the ability to read bluesky's documentation on how to do that. You can get the former from a service like GoDaddy. As for the latter, you tell me because I haven't tried to do that yet.