I talk sometimes to a chap in Hopkinton, Massachusetts (he lives about 75 metres from where the Boston marathon starts).  Michael helps 'solo professionals to develop a clear market niche'.

In his latest email, he says his lawn became infested with wasps, his wife wouldn't let him use toxic chemicals (spoilsport) and she insisted on another way.  A neighbour said he'd "heard" you should flood the nest with liquid soap and a lot of water.  At that point, things went wrong and downhill pretty fast.  You're supposed to do it when the herd (hive? group? team?) is in the nest and so less active.  During the day, they made a convincing argument for his early concession of defeat, and chased him back into the house.  The neighbour said you should have done it at night.  So, how do you find the nests in the dark?  In the end he went and purchased the chemicals anyway.

First lesson, don't believe everything you hear.  However, it's comforting to know someone else is challenged by these sorts of rocket science problems.  Second, it's a bit like being in business for yourself, which requires a different point of view to being employed.

First, the upside is unlimited, because you benefit directly and immediately when things go well.

Second, time is important, and money comes in when you make things happen and try new things (excluding pest control)

Third, the cost of making mistakes is very low.  If your next idea works, it works, and if it doesn't, it's annoying but it doesn't matter.  It's not failure, it's just one way it doesn't work, the monetary cost is usually pretty low, and because nobody is watching, you don't lose anything else (like your dignity).

The point is, the biggest threat is not that you'll make mistakes (you will, but get over it and learn from them), it's that you'll wait too long and move too slowly out of a fear of making them in the first place.