If you’re getting started in something new, breaking into a new industry or exploring a new customer base I would suggest you ask yourself one question: Do I really know this space/industry/product/customer/etc?
My experience tells me that we often blind ourselves with the excitement of an opportunity. We feel that our skills will translate immediately and things can’t be really any different from what we’ve done in the past. Also, we often come from a land that we’ve grown to dislike so much that we feel that anything would be better; the grass is greener conundrum.
Get to Know the Land Before Moving
If you really want to try your hand at something new why not become an employee first? The risk is removed and the stress isn’t yours to bear. It may slow things up a bit or you may miss out on an opportunity, but it may save you greater pain in the end.
Now, I naturally haven’t done as I have written here, but I’m a glutton for punishment.
Whatever your choice, good luck and enjoy the ride.