Actually, this is not the first time I go freelance. I've been a freelance programmer back in 2000 and accepted a salary job when my daughter was born. I'm in business since 10 years (as a professional programmer).
In summer last year I was working as an employee for a german company who sells voice recognition software. I had a stressful job and didn't see my kids very much. So I decided that I needed a changement. Given that I love being independant and having the choice of what I do, I talked my wife (we are not married actually) into accepting that I go the independant way and set up my little company.
So I quit my job in the end of january and left with a freelance contract from that very same company to implement a new version of a client-server software for a big automobile manufacturer ;) I know best the software needs of that company and so it was obviously the right choice for my former employer to hand me the contract. Anything else would have cost him a lot more money.
So I went to implement the software with the help of a good friend of mine. Unfortunately, we are too fast and we quickly were far ahead. So, since I had to wait (for month; the project only continues next week) I searched for alternative ways to gain money.
For the french speaking ppl, go to http://www.sidema.be which is the web presence of my company in belgium. I actually broadened my activities to hardware maintenance and helpdesk work. During the time I don't have a contract to work on, I gain my money with hardware maintenance.
In april Studio II who's producing Sacred 2, asked me for the third time if I could contribute to their project. So since april I've that contract, too.
I think the start of my business worked out quite well since I don't really have to spend time on searching for work. It's coming by itself. The incoming money stream could be more steady but I don't want to complain. There are a lot of people starting their business losing all their economies.
What helped me starting was the fact that I was working on an important project at my former employer and people from the german game development community knowing me. I didn't work with the people of Studio II but appearently my reputation is good enough for people wanting to work with me ;)
Hope this ansers some of your questions paulecoyote.