All the freelancers I know (though only three, including myself) started off taking a job from a company they had worked with previously. Start off doing some moonlighting on a side project, then if it goes well enough to do full time, go for it. I think in all cases it was questionable whether our employment contracts allowed it but nobody's employer seemed to care. Typically you can charge 4x what you were making in salary, and it'll still be less than the company was paying for you earlier.