I was vital enough to my full time employer that I knew they'd give me some contracting to hold them over. And, I had a couple of contacts who I knew were interested in my doing some work for them.

I started planning 3 months before I gave notice. Made sure I had 6 months' savings. Formed an LLC, talked with a business attorney and CPA, and lined up projects before my quit-date. So I was basically ready to go from day 1.