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At first I was always worried each gig would be my last, but that never happened. It’s just a matter of building and nurturing a network and work will never run dry. The tax stuff intimidated me, too, but if you get an accountant, it helps a lot, especially if you’re not good with numbers, like me! These days I worry that my book is getting boring, I’m not working on anything particularly exciting as a freelancer but after a while you can be choosier, so I’m planning on being more selective about my next few gigs. My income now is like 3-4 times what I was making as a full timer so I can certainly afford vacations and retirement, and although it required more paperwork (mainly just bank and tax statements), I was able to rent easily and eventually buy a house by myself, so I don’t think those need to be big worries for you.
Chief
I was worried about showing proof of income, but the only issue I've run into is having to explain (once) that yes, I do actually make that much money, and no, I didn't forge the paperwork.
For 401k match, talk to an accountant about setting yourself up as an s-corp. You'll need to work a couple 1099 jobs and not just be a W2 freelancer (which will likely require you to carry liability insurance to get set up as a vendor with agencies). But the benefit of being an S-Corp is that you can put yourself on payroll, and you (as the company) can match your own 401k contribution (as an employee of that company), essentially doubling your yearly contribution limit.
And for paid vacation, well that gets factored into your day rate. And you get to decide when you've made enough and just want to take a month or so off.
It's got the same stresses as agency life with the added stress of running your own solo business, but if you've got a good head on your shoulders, you'll do just fine for yourself.
Health insurance is a pain. I had to join my local chamber of commerce to get in a group plan. Costs me $500/year before I pay any insurance premiums.
The thing I've had to do without for the last two years is someone to cover for me when I need time off. Finally getting that sorted, but it's been a long time coming.