I have been doing some consulting - moonlighting, at night on sites like elance and guru, there are apparently a lot of consultants on this forum and I would love to get your feedback about what I should do before I jump out full time, what would you do differently, what to avoid etc

The biggest thing you need to do is to line up clients before you hop out so you have a revenue stream you can work with

I would try to get all of your marketing ie. brochures, rfp covers, business cards websites etc out of the way it takes forever getting these things done especially if you are working on a project

I agree do not underestimate how long this will take, I did and it feels I can never catch up you want to make sure you offer a professional look and feel on your marketing and it takes a lot of time to accomplish it!

I think the one issue that is being overlooked in this thread but often is even with consultants is putting together a business plan with strategic priorities, goals and a financial plan. This should be the first thing you do, and if the plan does not look good you may not want to hop out on your own.