In many ways, self-employed and sole proprietorships are the same. Both have to pay self-employment taxes and they have no liability protection. The only difference is how you get paid. If you are operating a sole proprietorship, your customers make payments to your business. If you are self-employed, your client pays you individually and supplies you with a 1099-MISC form to report your income to the IRS. There are few advantages to operating your business or earning income in this way.
You may want to consider starting your own business. Even if you are a one-person business, there are potential advantages to incorporating or establishing a limited liability company (LLC). The first is that using a business entity separates your business and personal incomes and expenses. The second is liability protection. If your business fails, your personal assets may be protected. If you are sued, your personal assets may be protected should you lose your case. The only difference to your clients is that they would be paying your business rather than paying you personally.