I'm moonlighting, and I have to say - it's brutal. I get a couple of nights a week to work on my startup project, and it sucks: a) it's not nearly enough time, b) I totally lose flow, c) I'm tired before I start, and so have really motivation trouble.
Many a-list bloggers say it's really not an ideal approach - and they're right.
That said, I have no choice. I have a wife & 2 kids, and not that much money in the bank right now. So my choices are either moonlighting or give up the startup dream, which I absolutely refuse to do. (Which reminds me: all that stuff about the tech industry being a complete meritocracy, you can start a startup on no money, etc. - that's all just crap. There's no meritocracy. You can only launch a startup if you - or someone else (your daddy, etc.) has enough money to pay all your bills while you do it. That rules out: working class people, middle class people with kids, etc.)
Anyway, my goal is to work enough to just get something launched, and then hope it takes off from there enough to transition to it full time. It's a long tough road, but I'm tough enough to stay with it.
Still, I would not recommend this route.