Has anyone done this? Any tips for getting started?
I would use one of these intermediaries to get started. They sell into different corporations and have an idea of what technologies and rates are like. They may or may not have courseware you can use as well.
Of course, you won't get as much money as if you do it directly, but it'll be easier to get started. Make sure you don't sign any exclusive agreement, though I expect they will always require you to sign something saying you won't approach their clients. But you should be able to have your own training clients on the side.
One in the Colorado area who I've heard good things about (and talked to, but never worked for) is Develop Intelligence http://developintelligence.com/ Happy to intro you to them (contact details in my profile). I'm also happy to intro you to my acquaintance, who is still doing technical training.
The pay is terrible IMO - an hour of training might require 1-3 hours of preparation. Untrained people usually earn less than you and can't afford much. So you end up working about 3 hours for the pay of one, plus travel costs and often late payments. It's just so much more profitable to write code. But I think a trainer should spend 20% of their time training max, and the rest should be doing the work they're teaching.
tl;dr: know people who run training companies