Heya L_y_l_t
I have also been in the industry a while now and like you was with agencies and put off going indie for so long but now I wish I'd have done it sooner. Got fed up with agencies and now been indie for about 2 months, best thing I've ever done! I make soo much more money now and I'm in control of everything unlike with agencies that send you off here, there and everywhere.
In terms of advice, all I've used to advertise so far is AW which has got me plenty of work so far. Not needed anything else and I also gave my regulars from the agency my work number so that they could still book me but through me.
I had no major start up costs, AW is free and I use my credits on there from my private gallery to advertise as available ect. The only upfront cost I had was ?65 for a hotel but earnt it back and more.
I find the only major frustration is when some clients just text and text all the time like you're their gf and to some extent although it pisses you off you feel obliged to text back even though they're getting on your tits. Obviously with agencies you don't get that but I'd say that's probably the only major draw back. I absolutely love being indie and like I say, earn a lot more. Hope that's helped a little. If you need anymore info let me know

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