I recommend that you find a good accountant who can advise you on record- keeping and tax issues. I use Quicken for tracking all my expenses. Keep all receipts related to your business, and set up a separate credit card and checking account as well. Look into whether you'll need state or city business licenses. Get health insurance and remember that you can extend the plan you have now in your current job.
Disability insurance is also a good idea.
These are simple to set up and as effective as a 401k plan. Get business cards, once you finish agonizing over your company name. Get an Internet domain name. You should also develop a network of other consultants for advice on these items. What's great is that you have complete control over all of these matters, and once they are in place, they don't need much attention.