My brother in law is a self employed sparky working on contracts, the biggest difference for him seems to be the amount of outside work he can bring in. If you go self employed and your previous employer still keeps your details you might find yourself still being able to do stuff for them and doing outside work etc.
Get yourself in the local paper, Yellow pages for next year, contact all the other companies (competitors your co used to wok against etc) and basically try it as a self employed sparky. If you have some savings to ride out a couple of months or so then that will make a massive difference. If you don't then get into another permie role and start to set things in motion for going self employed next year.
A decent Yellow Pages ad will work wonders, particularly if you are qualified, able to do certs, what kind of other things you can do (such as pat testing, alarm work etc), get it all on there and make it professional looking.
All usual caveats apply - it's just advice, don't know your personal circumstances etc, but yeah, all things being equal, that would be my advice.