Begin Consulting & Keep Job?

Hello all. I am considering attempting to begin a consulting career. My focus ultimately would be on small to medium sized businesses. My only concern/wonder is how to do this while keeping my day job?

Anyone have any experiences similar to this? I know people who have done this cold turkey but I am not financially capable of doing that right now. Maybe I should look for a different job, meaning a different shift?

Any advice you all can push my way? Experiences, web sites, books, etc.?

Thanks.

~T