[gotwilly]

To echo what others have said, and what worked for me: work at a small agency for a few years. Learn how to write good contracts, handle invoicing, and communicate with clients. Then take a few contracts on the side so you can figure out a rate that works for you, and so you can work on those skills in an environment where you aren't relying on the income. You'll know when the time is right to switch to full time freelancing.

Once you have proven yourself, you won't have to compete on price. Good clients will come to you.

[civilian]

I worked at a small agency for a year and a half and was very isolated from contract writing, invoicing and client communication. I would have gotten more if I stayed, but I think that often managers think their job is to isolate you, the workhorse, from the client craziness so that you stay focused and productive. So your YMMV with this strategy.