Before you go into business write a business plan and a marketing plan. Yes, your plan will inevitably change as you go along but it helps to have a plan.
In addition to web design, what other services would be a good fit that you could offer your customers along with design? For example, web hosting is a good source of recurring revenue.
Here are a couple links from the Wikipedia that might be useful:
Business plan -
http://en.wikipedia.org/wiki/Business_plan
Marketing plan -
http://en.wikipedia.org/wiki/Marketing_plan
Also, keep in mind that while you are likely a talented developer, you have to work on the business not just on design! That seems like a straight forward and simple advice but the majority of people who go into business for themselves have a skill: web design, accounting, plumbing, etc. They go into business because they want to pursue their vocation and not have a boss. These are laudible goals but the they often don't spend enough time working on developing the systems of the business. So sure have fun doing the design but make sure you spend time developing systems for how everything will get done.
It would be a good idea to read a few books on business as well. I can recommend some if you are interested.
