I've done this. We're opening our commercial studio in November, still waiting on build-out to complete. Bucks up kiddies, this one of the ways you can do it:
start as an independent contractor. Your name is your brand. Learn to sell yourself.
info it and accounting software. Learn how to bill your clients by learning how much it costs you to be in business. Use actual real math to calculate how much you need to earn per day vs how many days a month you actually work.
get yourself to 5 regular clients. Get insurance.
reflect on the work you have done, and the work you want to do. Rebrand yourself to fill a specific niche role in production. Improve your equipment.
get an assistant. Train and pay your assistant.
maintain client list & create no less than 5 personal creative projects.
Now it's business time. Meet with any city representatives focused on small business development.
register as an LLC, get a business bank account.
communicate with your clients your transition to being a business. In a good world many of them are either indifferent or excited. Ditch any client that considers your growth a negative.
Get a physical space. This involves a big bump in expenses. Lean on your good accounting and math skills. Run the numbers well, be thoughtful about how much space you need and where in your city (or outside your city) you want to be.
get a lawyer, get an accountant, work with a broker. Dress nice.
make sure to have liquid cash for 2-3 times your projected expenses. Don't forget all sorts of service hookups will cost more for business accounts.
stay in business for more than 2 years. Stay in business during wartimes & recessions. Stay in business when tech changes and rookies sniff after your clients. Stay in business when students get pissed you don't do internships, etc...
The easy part is setting everything up, it's pretty linear. The hard part is keeping it all going. Pretty soon you stop working production and you start managing a business. Be ready for that.