Here’s my working-for-myself story. I personally lived off freelance design from 2007 to 2008, then again for a half year in 2009.
Back in 2004, good friends I was working with at a startup had encouraged me to start a S-Corp ( I recommend all designers consider this). Doing taxes/books every year for small projects helped prepare me for book-keeping with bigger money later. I did smallish $3-5k projects back then, and sometimes contracted myself to companies (rather than use an agency) for the tax benefits.
Years later, when they closed a satellite design office in SJ where I worked, I was getting together with the girl who’s now my wife who was living in TX. I had enough side work interest that I went rouge, planning to work independently full time and move there to be with her. I took on a big project with a friend from my apartment in SF and all of a sudden I was making 40% more and working about 40% less (those were the good times). I worked with companies that worked with my main client, and they gave me work. Old companies I worked with heard and came to me even more little projects. It was going well, just by word of mouth, and I moved to Houston to set up shop there.
Then my main client in Austin ran out of funds and disbanded (after producing product) but the side work kept up. I started teaching at a local university to get me out of the house and find student helpers, but mostly because I was working all alone. I did LOTs of business development trips to California Austin and Colorado trying to strum up new business, which was sometimes successful. I rented out my old place in SF so I had a crash pad couch, some tools, and a bike out there - sometimes I’d be dressed up for a meeting and on my bike with my presentation case, riding ‘the last mile’ to a meetings around the bay! It was wild, but started to get a little stressful.
Eventually I missed working with a team and doing all the bookkeeping, so I joined the designers at NASA full time (and because space ships are awesome!). When the horizon looked gloomy there with budget cuts, and the wife got a transfer back to SF - we jumped on it and I started back up right where I left off. I’ve been full time at a firm for several years now and prefer it at the moment, but still keep my business alive just in case + I am slowly learning about international business.
I don’t think I’d do things exactly the same if I did it again and would make sure I had a more social environment wherever I worked. I’d also try to focus on exactly what I wanted to be designing, rather than accepting just any project that came in (this is why I went for an MA in Branding Strategy and interviewed firms worldwide to see how they did it). Anyway, hope this is in-line with what you’re looking for