Mike,
The advantages of being self employed have for me, out weighed working for someone else. I would love to be able to be self employed and not have any one else on the payroll but that would not work in my situation.
If you know what you are doing, and I'm sure you do, give it a try for a year or two. Sounds like you could always go back to a company if it does not work out.
If you stay where you are, In 5 years you will be asking what if.