I've just made the leap myself, leaving my agency job on Feb 10th to start my own consulting and contracting company. I'm a UX designer specialising in product design and interaction design for web apps and mobile. I've worked in UX for 12 years, consulting, agency, startups and enterprise - always wanted to run my own shop, and I'm finally making it happen. Woohoo!

I found a startup client who I have a small monthly retainer with, and who I'm doing some short (1 week-ish) contracts for on an ad-hoc basis. The money is good for the work involved, and the business gets to pay probably about half the usual cash for a senior UX brain that retains context around their business. It's win-win at the moment. I'm working hard to make sure I provide value for them because I know that I'm new to this game.

Finding clients so far has been all about activating my network. I haven't been able to do outwardly facing marketing stuff while still technically working at the agency, so once Feb 10 rolls around, I'm kicking that off.

Also, I saw in the comments that you're in Ivanhoe - I'm in Heidelberg Heights! We'll have to catch up for a beer some time to shoot the shit. ^_^