I'll speak from the experience of a guy I know well and respect very much.
His initial plan was simple:
Buildup some money and be his last boss' bitch. He did overwhelming overtime hours, agreed to stay in or out when needed. They had agreed he would leave 'when it is the most convenient' (which started as a 2 weeks thing and ended up being 2 months).
And it was worth every penny.
When he became freelance, he also had his own thing going at the same time, to keep busy between contracts. Some contracts were good, others, well, you know, a lot of customers just don't know how it works, and a whole lot of others will just screw you because they've got better lawyers.
He basically kept an open channel with his former employer, accepting some freelance work from them, which both helped increase his credibility as a freelancer, and kept money coming in. Plus, being a freelancer, it allowed him to commit to smaller chunks of work at a time, always making sure he was taking the best or most interesting deals.
Credibility is key, and you never know what potential client might have spoken to a former boss or colleague. Especially in my area, news travel fast in the video game industry, and gossips even faster. A lot of the successful freelancers that I know and respect are former colleagues. I've crossed them occasionally on various projects here and there, and the one trait they do have in common is that they've been honest and proactive about it. They had a plan, they told their boss about it and worked the finer details together. That goes a long way.