Well... I've done it. Today marks my first year in business for myself. For the most part it's been a learning experience and, I'm pleased to say, profitable.
There have been a few hiccups with some clients and their ability to pay on time and pay according to the terms they agreed too. One of these has effectively been fired. Having weathered that though, things are looking up. I've managed to form a good relationship with a number of reputable companies, I have good projects coming up and a little cash in reserve.
Confidence in this self-employment thing is high.