Depends on what you want to do. Entrepreneurial as in start your own consulting company? Or starting a startup where you're (generally speaking) selling a product of some sort?
Great question. I've always felt "entrepreneurial leanings". Of my parents and siblings, I'm the only "employee". Unfortunately I've always been paid generously enough to curb those leanings. i think this is as good a time as any to test those "leanings" and reading about entrepreneurship and take a risk. Having worked for 25 years, I need to de-institutionalize my thinking and figure out what I'd like to do. It would have to be a passion project thogh because at this stage of life, that's what is going to drive me.
IMO step 1 is figuring out what kind of business you want to build.