I've been back and forth a few times between contract and W2 in the security biz, although mostly network/access control with some breach cleanup and assessments. I also have some friends that do different versions:
Fulltime business owner with long term/big contracts
Part timer who splits time between mid length contracts and epic travel
W2 employer that works for a consulting company and is hired out short term (I did this one as well for several years)
I do have some input, and here it is:
You need to decide whether you really want to do it fulltime and hope to make more than you do as W2. Because as txtridude above mentions owning your own biz is way past a fulltime gig. My buddy above who has his own biz works..... A LOT. Like all the time. He does make a lot of money but all told it similar to what he would make hourly if employers let you work 80 hours a week. :D
This brings up other strategies, like working an 'easy' fulltime gig and running a lucrative side gig the rest of the time. You get to keep some of the stability of the W2 gig and get to add some nice chunk of change from the other work. But you're still working a lot.
My friend above who does the mid term gigs and travels in between is located in a low cost of living area and flies out for work. Because he's on the road so much (70% +/- ) a lot of his food is free, his utilities back home are low and so on. He also racks up a buttload of airline, hotel and rental car points so even his travel hobby is relatively cheap.
So.... Once you've decided on what style you want to do the main thing is how to land gigs. For me it helped to just make a *LOT* of contacts. I did this professionally both when I was a trainer (lots of people cycle through classes) and when I was a travelling W2 consultant (met new people every contract). I would never poach, that's unethical and probably violates a non-compete. But the more people who know you and the quality of your work the better. These folks know people and WILL pass your info around when somebody needs your skillset. You can also do webinars showing the basics and direct people to your site at the end, you can do presos at local security or IT group meetings (better know your shit. :D ) so basically network and get yourself out there.
It doesn't hurt to use recruiters as well. Just let them know you're absolutely not into W2 work but will consider short to mid term contracts. Doing these as they come up is another great way to build up clients and generate work. The contracts themselves might be direct to a company, but might also be a sub through a larger consulting company. This second is the best, if you do good work these companies are going to pull you in whenever they need help, assuming you do a good job. Granted they'll probably try to W2 you eventually but it's fine to say no. :D
In terms of the transition itself, again txtri is wise. Having a big pad of $$ is huge. You might not need it if you go directly from your w2 to a mid term contract, but then again maybe they decide they don't need you 2 weeks in, always better to have it and not need it than need it and not have it.
That's what comes to mind off the top of my head, I'm sure others can help fill in more.
