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I guess we usually say "I did it in this way", but I can find such below: 1. "I did it my way"; 2. "Everthing he achieved in life was earned the hard way".

so we can just omit the "in"?

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In this example, "this way" appears to have become used adverbially, which doesn't speak for the usage of an article. "My way" as such is a fixed expression and should be viewed as a special case that may break the rules of conventional grammar. In the course of the development of such a new fixed expression, articles, prepositions etc. very often disappear (some don't!), as the language tends to get rid of things unnecessary for understanding. I.e. such expressions are used so often that there is no need at all to fullfill all the "regular" grammatical requirements, as everybody understands it at once.

The expression had also been probably affected by the expression "I go my way".

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