Self employment can be wonderful if you have the personality to survive a fluctuating income and uncertain future. Realistically, however, no job is ever guaranteed.
If you want to experiment a bit with the feeling of self employment, try picking up some side business that you can do after work or on your off days. Unless your company specifically prohibits it, this gives you a way to ease into self employment. Once you have steady business, you can decide whether or not to take the leap and start a home based business full-time.