When you go out bill collecting, you will do so as a business, not as an employee. W2 Employment W2 employment pertains to most individuals. It takes care of your taxes exactly like a full-time, regular job. When you work for an agency, you'll be paid for the hours on your time card, including overtime. You may receive preferential treatment if you work many weekends or travel extensively while on a contract.
Many people start moonlighting as a way to take on different types of work and to earn extra money.
However, full-time employee agreements may restrict this activity, though I've not seen any such restriction enforced. Because of the favorable market conditions, contracts are relatively easy to find. If you are moving from a full-time job to a contract, you can do so with a fair amount of comfort. First, you'll have adequate time to shop the market. If you get a sour taste in your mouth with your first contract, you'll still have time to pick up a second one or go back into permanent employment.