Been there, done that, got a tee shirt, don't need another tee-shirt.
Consulting can be a lot of fun. I did it full-time for 12 years, and still do a little work on the side.
Do your homework - there's a lot more to running a business than just the fun IT stuff. Receivables can kill you. Accounting is a chore. Sales and Cold-calling are a must. Then there are fun things like SE tax, worker's comp, cost of benefits, OSHA compliance and lots more. Health insurance? Liability insurance? The list is endless. Are you going to retire one of these days? Remember to include plans for your retirement in the business plan.
Could you manage your own business with a number of employees doing the actual IT work? It's just another thought, since you mentioned your service management role.
This may sound strange, but before you think about going into business, you need to learn about "the business of business." While learning about business, develop your business plan. The plan will raise new questions for your learning, and your learning will raise new questions about the plan. You can figure out "what you're going to do next" while you're still working.
And if you try to start a business before you have a business plan, you're probably doomed before you start.
If you're already unemployed, consider IT contracting (job shops) if you have been unable to find a "real" job. It can help tide you through while you're developing your plan.
And for my own $0.02 worth, the first two business relationships you need are: 1) a good attorney, and 2) a good accountant and tax advisor. Find good ones. They will be expensive, but both of them will save you more than they cost in expense. "Cheap" attorneys and "cheap" accountants (i.e. lousy) will make costly mistakes. Reputable professionals have earned their reputation, and the headaches they save you are worth every penny you spend. And if they tell you that your business plan isn't sound, believe them. Ask them what to do to improve it, and follow their advice.
After that comes the banker and the insurance broker. They're both important in the execution phase, but get the attorney and accountant first, during the planning phase.
Once you have a good plan, just do it!
That sounds simple, but anyone who has been there knows it's not.
And remember, being in business for yourself means you can work half-days, every day!
(and you can even choose which 12-hours-a-day, 7-days-a-week that will be!)
Good luck.
:-)
