For some people, getting the first client is the hardest part. For others, the first client just falls into their lap. Sometimes if you just start to tell people you are leaving your job, former employers, colleagues or friends will ask if you can "help out" with something. This can be an easy way to transition into independent consulting.
If you are not so lucky, you can still identify projects through proactive networking. Call former colleagues, classmates and friends, and tell them what you are doing. If you're not sure this is going to be the path for you, maybe just tell your "friendlies" whom you know well and trust. Once you get the first few projects, you may find the confidence needed to invest more heavily in building your consulting practice (establishing a website, developing marketing materials, investing in professional development etc).