Agencies are generally used for convenience and immediacy - the client to just rings up and books someone without any real checks or screening. Additionally, you are expected to be available to work to suit the agency's needs, hence your current income.
As an indie, you might not guarantee as much work at £350 p/h, but at £250 that's certainly possible given it works out at 40 clients per month, less if they're longer bookings. However, remember, your agency are paying for advertising and other marketing, and already have a well-established client base. It will take time to build up a regular clientele, and once you do, you can always raise your prices.
Where will you work from? If you're planning on doing incalls and don't want to work from home, will you rent a flat or work from hotels/serviced apartments? This can be expensive. What is certain is that you need to work out your costs/overheads which will significantly effect your gross profit.
If you're going to offer outcalls only in a bid to save on outlay, then this will not bring in as many bookings as you're used to.
Maybe ask the agency if you can go part-time. I have noticed that quite a few independents are also on agency books (same price on both). This suggests that these indies are struggling to get as much work as they would like. As you are making a lot of money for your agency, ask if they will consider letting you branch out as an indie while remaining on their books; they might actually be supportive of this. Alternatively, why don't you raise your price at the agency? This might bring in less work but for the same money.