No doubt, using an agency is a worthwhile consideration. There's a huge difference between finding your own freelance work and using an agency. On the one hand, using an agency minimizes risk, but on the other hand, it means you'll get a lower hourly rate than going solo. However, a lower hourly rate doesn't necessarily mean less money. Some companies will only work with placement agencies, and you might get more consistent work leveraging the vast contact database of an agency.
Most agencies have a plethora of contacts, significantly more than most individuals have.
Also, if you're not totally confident marketing yourself, an agency can do this for you. This will minimize risk and will get you off to a good start. Don't undersell yourself. If you're a superstar make sure they know, but don't appear egotistical. Just thoroughly document your accomplishments.