For someone who has worked in the security industry for many years, setting up your own agency may be a natural progression. You must remember that managing an agency will be very different from taking on security jobs, so think about whether you have the right management skills to do this. If not, there are some simple management and administration courses you might like to take.
One of the main criteria is to know the industry inside out. Everything else can be learned over time. Make sure you keep your knowledge current and keep up with current trends.
If you are thinking of setting up an agency, you should make sure it has all the necessary credentials. It must meet with the regulations set out by the Security Industry Authority. If you want to gain more recognition, try to become SIA approved. This will show you are experienced, professional and reliable.