I am going to interpret the question as being about free agency, and not being tied to a paycheck. That's the "on your own" part.

I don't understand the "no direction home" part and never have. I've never had much attachment to the idea of "home." My soul may be dead, if you go by Walter Scott ("Breathes there the man with soul so dead, Who never to himself hath said, This is my own, my native land!") which may explain why I didn't have much of an emotional reaction to recently switching citizenship. For both work and personal life, I am happy in any pleasant environment with a cafe near by. I am what the French call a flaneur, I guess. Though that may be too sophisticated. These days I call myself barbarian/nomad.

Now the "how does it feel" part.

Three weeks ago, I quit my job to become a free agent writer/consultant. So far, the biggest thing I've discovered is this: your mental state depends ENTIRELY on just two factors: your attitude and your cash position (i.e. your runway before you go bankrupt).

Attitude

I've had periods of frictional unemployment a couple of times in the past, and in each case I was filled with anxiety/excitement as I waited to find out which job I would get/accept out of the multiple developing opportunities, how much the offer would be, etc. In each case I had no real idea in my head that I'd be doing anything other than earning a paycheck soon. The free agency bug didn't really bite me until about 3 years ago.

In both previous cases, I was in a pretty tight situation financially (2 months cash runway) and in one case, legally (around visas/work permits). If I couldn't get something by a certain time either my money or my work authorization would have run out.

This time though, since I jumped into free agency intending not to go back to a paycheck job if I could manage it, my attitude was completely different.

It helped that I have enough of a cash position to not have immediate cash flow anxieties (>6 months), and that I am now a citizen with no more visa/work permit type anxieties. I think of 6 months as sort of the asymptotic limit beyond which all humans simply think "a long way off" at gut level.

It also helps that I have a significant first free agent project -- releasing and marketing my book -- that adds structure and meaning to my life, and represents at least a minor revenue stream that is mostly within my control. I can't control whether it becomes a best seller, but I have enough marketing potential in my blog that I know I'll make at least a little money. Almost certainly not enough to live on, but it is amazing how much just a little bit of cash flow can relieve anxieties (I know this from having worked in a startup where I literally watched the first actual dollar come in, and watching my anxiety plummet).

But it still surprised me that the FIRST effect of going free agent was a drastic lowering of anxieties. I was fully expecting higher anxiety. I was, after all, walking away from a low-six-figures paycheck into the unknown with a "something will show up" business plan.

With hindsight, it's because there are no deadlines anywhere in sight. No hiring managers telling me "we'll let you know in a couple of weeks." No place I have to be at a given time. Just a portfolio of evolving options at different stages of maturity, and nobody holding a gun to my head saying I had to accept/close ANY of them.

My life can basically proceed at whatever pace I set because there is now a visceral connection in my stomach between income and expenditure. Unlike rationally managing a budget in your head, what this gut-level connection does is automatically manage your spend rate in response to your income prospects. I know I have to learn to consciously manage it of course, but the important thing is that the management process starts at a subconscious level now, rather than spreadsheet realities fighting off spending temptations in a conscious struggle.

Once you accept the fact that your income is going to be unpredictable, the shift to managing the costs of your lifestyle better happens naturally. I used to not really think about what I spent and how I lived. Now I find that I naturally adjust how I spend based on how I am feeling about my prospects at any given time. A couple of days ago I had 2 promising business leads and I was in a mood to indulge a little. Then one lead went away and I got more cautious. Today I am back up, talking about 4 potential promising gigs at once.

I have to learn to manage this volatility, but I am surprised by how little it affects me in terms of causing anxieties to go up and down. Sure, there's a roller coaster, but it doesn't feel like torture the way volatility does when you are on the paycheck clock.

Cash Position

Of course, if enough options don't mature and the cash runway starts to get seriously short, the anxieties are going to come flooding back, but so long as I keep that runway long enough (6+ months) I think I am going to be FAR happier.

In a way this is the central mindset shift. Instead of thinking about retirement planning, you think about short-term cash flow. This is a much more natural way for human beings to think, from an evolutionary perspective. We are instinctively smarter about <6 months problems.

Of course, there's a big leap of faith here that if I manage the short term, enough surplus will be created that the long-term will take care of itself (i.e. I am trusting that I'll do better than a typical 401(k) match), but it's a leap I've made.

If I fail, it's back to the paycheck life for me. We'll see.