It all depends on your goals and concerns. Personally, I would tend to always try to work with a contract and get everything down on paper, simply because it clarifies the relationship between the label and band and avoids a lot of confusion and hard feelings later on. That said, you should talk to your attorney to decide the advantages and consequences of whatever moves you are contemplating. That way you can make an informed choice. Also, your attorney will be able to hone in on anything you might be overlooking, and will think of things you might otherwise not consider.
Most folks think of the things that are needed financially, logistically, etc.
This column is offered as an educational and informational tool only, and should not be relied on as legal advice. Nothing in this column constitutes the establishment of an attorney-client relationship between the author and the reader. The legal principles discussed are limited to those principles which are generally applicable under United States law. Applicability of these legal principles may differ substantially in individual situations. If you have a specific legal problem or concern, you should consult an attorney who can provide you with advice tailored to the facts and circumstances in your situation.