I started my own conversion optimization agency over a year ago and I found out entrepreneurship takes all your time and focus.

You should be confident enough to know that you will make it, you will pay your bills and you'll launch the business. Of course, this depends a lot on your current status (I only had to provide for myself, I am 100% sure things change when you have children, for example).

The "safest" way to start is to continue working in your domain (the one you want to start your business in, I assume) and try and get one client on the side, in your spare time, without affecting your day job's performance. In the end, you have a name and that's what will help you succeed in your consulting business.

When you get that one client, you will feel much closer to your goal. You will have time to do your research and start promoting the business you are trying to build while being able to cover the bare minimum.

What I can tell you is that I started really giving it my all when I had no backup plan. Getting out of my comfort zone (as cliche as it may sound) helped a lot.

Good luck with your business!