Ooh! I love that question. But my answer might have to be equally as broad.
The first thing you need is a plan. What do you want to achieve? Be as specific as you possibly can, but also acknowledge that there are:
Then take a look at how you think this new transition might affect you and your dependents - you may not have dependents, and that's fine, but you are dependent on yourself.
If it's career related, like going full time or moving to contracting work, do a full budget. Take the time to figure out precisely what your finances are, and how much you need to survive for 3 months. Then have at least that much banked before you do ANYTHING. With contracting, you will typically lose any employment benefits that a full time employee has (medical insurance, paid sick leave, etc.), so what happens to your bills and dependents if you become sick? You need to know these things.
Be aware that a big change can have both positive and negative effects. And you need to try and be aware of both of these sides of the coin before you can make a decision. Try and think of it as being similar to informed consent, but you have to inform yourself. But that's hard because of the unknown unknowns.
To combat those unknown unknowns, seek out other people who have done the same. Maybe see if there are meetups or professionals that you can talk with. When I was thinking of changing to being a contractor, I spoke with all of my contractor friends. I also went to seek legal and financial advice (I have experts in those areas in my family, and while they couldn't advise me as a professional, they helped me finding the questions thay I should be asking).
In summation, and to quote Scar from The Lion King:
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