Starting your own business is a great thing to do.
you have basically 2 types of Entrepreneurs:
The ones that start a business to make a living
The ones that start a business to become the next billionaire (so they think)
I assure you, being a pentester will maximum be the first one.
The second ones usually blow up within a year or 2,3 max. I'm not investing in those business anymore, I lost too much money so far with several failures.
The first type of business is still a good business. The book advise on the million dollar consultant is a good book.
I have actually a friend who is a very senior consultant in IT, call it a top Java specialist, used to be with Sun but is on his own the last 4 years and he is invoicing his personal consulting services for more than 1 Million $ a year. We don't see him very often. He's all over the world. So it is possible. I would never want his life. Never. He's actually not living. He's consulting.
I would say if possible start small with a minimum of investment. If possible do it as a side job. The best consultants who work on payroll and who want to become independent still can work for their previous boss usually. that's my experience.
Good luck. You will need it. Just remember my words: start small, low cost and invoice your customers quickly.