Doing pro-bono work while still employed at ones current job is a great way to test the waters. Many major business schools have organizations set up to funnel such opportunities to alumni. For example, at Stanford, it is called ACT, or the Alumni Consulting Team. While doing a pro project won't answer all your questions about consulting (you won't learn whether you can get people to pay you, for example!) you will get a feel for the more fluid type of work of the independent consultant, and you hopefully will gain a reference-able client.
