Hey, that's what I'm bootstraping myself into right now - I'm currently three months into my first data science consultancy job (more on the programming/infrastructure side of things - extracting/preparing data, launching large distributed jobs etc.). I'd be delighted to talk with someone who's been in this market longer than myself, but can't really contact you (no e-mail in the profile) - please give out your e-mail address (either in public or just e-mail me) if you'd like to talk.