How is your new role going anyway (if you feel like sharing) @L-B .
Depending on what self-employment you are looking for, you may need to start while you have something else as income. That is, while you have a job, you start working on starting your own business as opposed to stopping work altogether and starting your business.
This is just from my own experiences. I hold a job with paid salary and use self-employment as a side thing - only because I want the flexibility of saying when I want work and when I need a break. I'm mindful that if I solely have my own employment, then if I get sick or need a day off, then I don't get income.
For example, earlier, I was sick for about a month. At least I still got paid...
But yes, there are also a lot of pros to self-employment