I moved to NYC and started job-hunting in early 2011. I didn't have a background in software development but I had programmed in VBA for 18 months (pricing insurance), used R for my statistics masters degree project and had been dabbling in Python for around 5 years (all self-taught).
Through direct applications, headhunters and networking at various meetup events I hunted for tech and tech/finance jobs for about eight months. While things would sometimes look promising, if usually came down to "we're really looking for someone with a bit more experience in X". I did manage to find some freelance work (for a Python/Django web startup) but they decided that rather than another backend programmer they needed someone who could do frontend development and system administration...
After leaving NYC my sister got a call, "is your brother still looking for a job in New York?", and I ended up back here working as an accountant. I didn't have any experience in accounting either (though I had taken some classes in the past) but my new boss was happy to bring me in on a three month contract and see how things worked out (I got a permanent offer after a month and a half).