I've effectivley been running my own business on the side for about 7 years as a freelance video editor and cameraman, working mainly with Dave Redmond of Complete Video Solutions. When you're doing this full-time though there is a lot more to think about.
Business Link have been very helpful with lots of information and the free consultation sessions. They set up meetings for marketing, SEO and accountancy for us which have all helped tremendously. If you're thinking of starting a business I would definetley recommend contacting them. Another good starting place is the Enterprise shows - www.theenterpriseshows.com. Everyone you might want to speak to if you're thinking of starting a business are all under one roof. The shows are finished for this year but will be running again next year.
Business Link's website is - www.businesslink.gov.uk