Are you handling the sales side for your company in addition to the delivery? Managing your sales pipeline is the toughest part of making the switch. It's important to have work queued up or reliable, long-term clients. The best thing you can do is to find a project that is part-time but regular, similar to what protostache has put together. Bank most of what you make so you can endure the periods of no work. You probably signed a non-compete agreement, so be careful in making the transition that you aren't stealing existing clients. Those usually are time-limited to 1 or 2 years.
I have done this twice in my life, once in my 20s (I made a lot of mistakes) and again two years ago, older and wiser. I stopped practicing when my daughter was born so I could stop travelling so much, moved across the country and went to work for a .com company with dreams of stock options. Those didn't work out and I tried to relaunch my practice in the depths of the .bomb crash in 2001.
I was unemployed for 18 months and we burned through all of our savings while I tried to find work. I sold a few consulting deals but not enough to survive, until I went back to work for The Man in 2002 for half my former salary. Two years ago I relaunched my practice. The first year was tough, I worked really hard and made about 20% more than I did as a corp employee the year before. Then I sold a big piece of work that accelerated our FIRE plans to 2020.
I do still use headhunters, but I have found a few whom I trust and have built a long term relationship. These guys always tell me their bill rate and charge a reasonable amount. That service will cost you something. The guys I use know that I'll always take care of them and we don't sweat the small stuff. It will take time to build up this kind of trust, and many of the headhunters in the business are not honest dealers. I pay mine $10-20/hr depending on the duration. I also use them to staff my projects and I take a margin on making the sale. It's important as the contractor to understand how many middle men there are, I've seen deals with four companies taking a cut, and it's not creating a lot of value for the end client. These tend to be short term arrangements.
I also do my own sales and strategic partnerships, and these tend to be more profitable. I have built up a strong business network over the years and drew on this to help companies respond to RFP's. I did this for free in exchange for a piece of the work if we win. It helps them because they don't have the resources to respond to everything. This was how I got my latest deal which takes me through 2020, and after this work ends I will likely FIRE. I'm also exploring diversifying the work more (I have a lot of eggs in this one basket) and selling the business when I retire.
Some expenses you may not have considered:
liability insurance (errors and omissions)
if you hire employees, worker's comp
payroll service
health insurance (buy through your state's exchange)
technology (laptop, software, etc - lots of low cost cloud options now, though!)
training - may need occasional training to keep skills current. Example: PMP certification is wildly profitable but expensive to get on your own.
travel - most deals today are "all inclusive" so you have to build your travel into your rate. Bonus: move to where the work is and make out like a bandit, or travel cheaply.
accountant - I use one, some folks don't, taxes get a lot more complex
lawyer - contract writing and reviews
As an independent contractor, you'll pay both sides of the self employment taxes. And you get access to a lot of deductions you wouldn't normally have, like travel, 50% of meal/entertainment expense while travelling, cell phone, Sec 179 deductions for technology. You can also do a solo 401k and contribute 53k (2015) to retirement, with some restrictions.
As you can see, there's a lot of overhead to deal with, but it's a nice lifestyle. In my 20s I found that having inconsistent work helped us to save more. If you weren't sure how long the work would last, it was easier to say "we can't afford that." Good luck and feel free to PM me if you have launch questions.