I work for myself and love it but it isn't for the faint of heart. If you want to work for yourself I recommend first working for other people for 5-10 years—basically, get paid to learn your industry. Then when you can't rise any farther, that's the time to go work for yourself.

Note I'm a person who's relatively less motivated by money, and my idea of successful self-employment is to be a consultant with a very good work-life balance. If you're trying to start a billion-dollar company this advice isn't for you, but I wish you the best of luck.