Can't comment on the IT side Tonio, but having only had about 12 months as an employee in the last 20 or so, being self employed and running your own business is infinitely preferable, especially if you are someone who can't stand to be ordered around by people who know less than you do.
I've also just set up a company, using an agent because for what it costs it's not worth doing it yourself. If you need any free advice on that, U2U me. Happy to tell you what I know about company formation, salary vs. dividends etc. People who know more about it than I do will be along shortly to warn you about IR34, no doubt. I think you're safe if you've got income from a number of sources i.e. not on a single contract but several customers paying you separately.
Anyway, my advice is Go For It. We'll start a new clique
