You're describing my situation almost exactly (i.e. making the leap to consulting with nothing lined up). I'm a few months ahead of you, and have had some serious ups and downs so far. More free advice for others considering the same:
* I don't have savings, so I took a loan amounting to about 3 months of expenses. Having cash in the bank makes me feel a lot better about doing this with a baby on the way. It also means I'm not forced to do low-paid work to make rent. Best case: You pay it all off + early payment fee when you sign your first big deal. Worst case: You get to the end of the runway and have to go back to perm work to pay it off. [1]
* It's been said many times but bears repeating: Charge more. Every lead I followed up got a daily rate roughly $200 USD more than the last. I can barely stomach quoting my current rate to clients, but I'm not going to argue with those willing to pay it. [2]
* Read about negotiation. Secrets of Power Negotiating for defence, Getting to Yes for doing the actual negotiating. Biggest bit of advice I can give personally is to shut up more often. Never talk the other person into paying you less money when they're perfectly happy paying you more!
* Same again for networking: Never Eat Alone is the standard text. If like me you have the social skills of a cave troll, How to Win Friends and Influence People is a good read.
* Remember to spend time on your thing. If you're not sure what your thing is, spend time figuring out what your thing should be (still at that stage myself). With networking, chasing client work, planning meetings and then doing client work, it can be difficult to keep this up. Alternatively, once you know what your thing is, Charge More and spend a few weeks at a time (this is my plan and something I've seen others execute successfully).
* Have actual, zero-business-value downtime. Pick up a hobby or two if you need to. I chose amateur robotics and catching up on classic SF. It will help you stay sane when things get rough (based on my experience and that of every consultant/freelancer I've spoken to, things will get rough).
Good hunting!
[1] I'm not a financial advisor, yadda yadda.
[2] Another good thing about charging more: clients see you as a consultant rather than additional technical resource. I've found that at higher rates, people tend to value your opinion a great deal more than otherwise, leading to a nice virtuous cycle.