Right - the liablity is the issue. Ultimately as a sole proprietor you have assumed all risk. I was once comically sued for $10 or 15k for not giving a client back prototypes after he refused to pay me for work that was completed. In the end it was all BS but had sh*t really hit the fan then it would have gotten ugly.
The LLC can come with some additional costs depending on your state, so you just need to assess the other issues and decide if it’s the best choice. If you are planning on going full time as a consultant/freelancer then I would say yes, bite the bullet now and set it up. It can also make life easier since some clients may not want to make out the check to your personal name.