At some point, virtually all sheet metal contractors think about going into business for themselves. Usually they're motivated by a desire to make more money or to be their own boss. All too often, it happens when they feel they're not being treated right by their employer. Sometimes there's a combination of motives.
This is an incredibly important decision, and a very personal one. I wouldn't presume to tell people whether or not to go into business for themselves - no more than I would try to tell them whom to marry or what to name their kids.