I've done it twice, once in my 20's and recently, two years ago. My latest attempt has been wildly successful, I'm planning on a June, 2020 FIRE date.
Regarding budgeting for the future, you can still do this as a self employed person, because your expenses don't really change. If anything, it helps you tighten up your expenses. Your income may be more variable, but your costs aren't. I saved up six months living expenses before making the jump. That was six months I would have been able to go without billing a single hour. That helped a lot.
I also recommend having a contingency plan for when you will give up and call it quits. For me, this would have happened when our living expenses dwindled down to 2 months. I got to within a few weeks of that happening. One of my customers ran into budget problems and took 8 months to pay (it was my choice to work at risk, and it paid off in the end). I lost a client I expected to keep and spent a month selling my butt off. Nothing motivates you like the looming death of your dreams.
One nice benefit of being self employed is that you can use SEP IRA or Solo 401k retirement plans, which permit you to contribute $53k a year in 2015, or $106k for a married couple who pays both people (downside, you pay double the payroll taxes). You are effectively contributing to both the employer (up to 25% of salary) and $18k employee side. There are a few threads here about that. I'd like to contribute that amount on January 2 every year, we should be able to start doing that next January. This year I did a lot of speculative sales and started a major contract which required some startup capital to get rolling.