I don't know that this will apply to you youngsters, but I found survival 'till sixty-five allowed me to live as an artist (well, maybe without much talent but at least doing nothing other than music). Between my teachers' pension and Social Security I am able to eat, play and stay out of inclement weather - most of the time anyway.
I've just discovered this thread, so apologies for the tardy post. But the above quote fits closely my own forthcoming situation.
I am expecting a UK teacher's pension in precisely 11 months and 2 weeks time (we are able to retire at 60 currently on full pension). I actually gave the university teaching job up over 15 years ago, and I've been self employed as a photographer and photography teacher ever since. I think my situation is similar to those considering a full time occupation as a self employed musician though, (and I actually photograph music as one of my specialist areas).
I've had some good years in that period and some very lean years. One Christmas, about 6 years back, I hadn't even got enough money for a turkey and had to settle for beans on toast. My partner (whom I met a few months later) still wells-up with tears when I mention it.
The last 3 years have been excellent and Christmas's have never been as good. But, I can see things getting "tighter" right at the moment, and my eye is on the finishing post next August (when the pension kicks in). At that point I'll be doing a small amount of the photography work - but mainly concentrating on learning the Sax, and traveling.
My full time career was very long (over 25 years) quite successful and very well paid, after a few promotions, and I was always financially comfortable. But would I go back to it? No.
Would I become self employed again...well,to be honest, perhaps only if I could compromise between creative expression, being my own boss and...never having to go broke.
A financial "cushion" is a wonderful thing to have but impossible to guarantee. I would certainly not start from scratch without one, though. I would also start part-time (and I was photographing for money for nearly 20 years before I gave up the day job completely). And then, only when the desired work (music, for example) is becoming so busy that it encroaches on the day job - and I have a diary that was at least half full for the next year.
Getting the work, in my experience, is much harder that doing it (and "doing" it assumes that you're good at what you do, because that helps to keep the phone ringing).
CASE IN POINT: The phone range an hour ago - a new job from a client (a large pharmaceutical company) I haven't heard from in 2 years. They said, "it's an important photograph" (actually a group photo including the head of the Nestle Corporation in Europe), "so we needed the best person we knew."