When you have the work. If you're getting calls to do 'outside' gigs, and you're taking them, then you're already on the road to becoming "freelance" (or a Mercenary...as in one who is available to the highest bidder).
The key to making it work is to make sure that you are established within the community. If you have a good relationship with the bands, managers, clubs, press(!!!!!) in your area, you should do OK.
By the same token, you're only as good as your last gig...so you have to make sure that you attain a constant level of 'upper mediocrity'. You can even be "genius" every now and again as the situation permits, but you can never afford to "suck". This may mean telling a client to go ^#$% themselves...while being careful exactly who you're telling to go fuckoff.
You're now "running your own small business", so when you buy things like 'gear' or 'CD's, they're all tax deductable. Which means you need to get an accountant, and a lawyer. Not the lawyer that helped you "close" when you bought your house, or the lawyer that got you off that bogus "possession beef" in 1997...an "entertainment lawyer". Meet one, have one around, maybe throw them a bone gig from time to time so you'll know they're there if you need them...[keeping one on 'retainer' at this point is probably out of your immediate budget].
The accountant is going to help you deal with all the $*^t you aren't suited to deal with...like making sure your quarterly taxes are current, helping you budget to make sure your estimated quarterly's are paid, not to mention FICA and Social Security (you don't get the 50% contribution to those from your 'employer', because you are now your own employer.
On the bright side...you can do more work for "cash" until you get to the point of only working for labels. Cash is a beautiful thing, it's worth about a third more than money. You can fold the $*^t up and put it in your pocket, no taxes, no nothing...unless the people that gave you that cash "1099" you...in which case you have to declare it as income...in which case you have to pay taxes on it.
The bottom line is if you have the work, and feel like stretching out on your own...go for it. If you aren't sure about your "reputation in the community", find the bar where all the cool and trendy people from the local music community hang, and any night you're not gigging, have your ass there networking.
Best of luck!!!