I treated my 23 years in corporate life to be an apprenticeship for what I'm doing now. I "retired" and started MuleShoe Engineering in September, 2003, and I'm very happy with that decision. Some of the things I did during my apprenticeship included:
Develop a business plan for MuleShoe Engineering. What would I sell? For how much? Who would buy it? How will I get customers? How much start up money do I need and where will it come from? What type of organization would I have? What are legal impediments (e.g., to call it "Anything Engineering" you not only have to have a P.E. on staff, they have to be the Owner, a Partner, or a Corporate Officer)? What equipment/space would I require? Will I have employees?
Got my Masters while the company would pay for it (and more importantly I could do my thesis project on their equipment on their time with support from the company staff)
Got my P.E. on the company dime (that was a go/no-go, if I'd failed the test I would have delayed my retirement)
Got a loan from my 401K while still employed to finance the start up. Made sure that I had 6 months of family living expenses separate and segregated from the company funds.
Joined SPE, NACE, ASME and was active in the local sections (an officer in one and a frequent presenter in the others)
Went to conferences and did my best to stay away from people from my company to expand my network. When I retired my Outlook Contacts list was over 1,000 names, dozens of whom have hired MuleShoe Engineering.
Wrote papers to present at conferences
Started designing MuleShoe Engineering website
Then I got really lucky and my business has been successful enough to have survived the global economic crises in 2008-2009 and the 2014 crash in oil prices. It was just luck. The preparation was just my OCD manifesting itself.
To me anyone who is considering starting an engineering consultancy's number zero hurdle should be "I need a business plan". Without that you should do yourself a favor and forget this idea. If you are prepared to develop a plan, start with my list and add the 200 things that I left off and really think about each item. Really think about it. Put the question and answer in writing. When you can provide a viable answer to every question that comes to you then you might be prepared to take the leap. There is a reason that most small businesses fail. That reason is too often failure to know what the heck you are going to be doing and how you will be doing it and for whom.