I advocate starting your business part-time, and using your day-job to fund your business along the way.
Quitting your full-time job to start a business is typically a recipe for disaster, since you'll be stressed and desperate to get work, and nothing turns off prospects like the smell of desperation. Also, if you're desperate, you'll sabotage yourself by doing things like lowering your rate, taking on difficult clients, etc.
However, starting your business part-time lets you learn the ropes and experiment to see what works best for marketing, selling, pricing, etc. That's how I built my consulting business; within about 15 months, I went part-time at my day job, then ramped up my consulting workload & marketing, and a few months later, quit my day job completely to consult full-time. The decision to ditch my day job wasn't risky at all, since my consulting income had been reliable and consistently growing over several months, I was earning money from multiple clients, and I saw that my day job limited how much I could earn consulting.
I'm pretty risk-averse and this was my first business, but this approach let me learn how to run my business and grow it to the point where it no longer made sense to stay in my day job. Of course, my wife had to nudge me to go part-time and then quit my day job, but it's been hands-down the best career decision I've made.
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