I have been a consultant for almost 6 years now (after a pretty cushy job as a project engineer for a Manf. Company). Here is my take:
1.) You are right to be scared, it is unlikely you have all the skills right now to be effective as a consultant, clients expect you to lead them. It will be stressful but not impossible to make the change.
2.) Every consulting firm is very different. I have worked at 2 and while they work in exactly the same fields (Heavy Industry) they operate completely differently. Ask questions about how projects get done, who is responsible for what parts of the work and how will you fit in and how will you be evaluated.
3.) You will gain WAY more experience as a Consultant, basically they are paying you to see how everybody else does their engineering, their is no better way to learn. I learned more in 1 year as a consultant than the previous 4 in manufacturing.
4.) Early on you will probably be given the "bad projects" ie crappy clients, no winning type of projects. The sort of thing where the job needs to be done, no easy way to do it, and it is already late by 3 months. It won't be too fun.
5.) Hours are (and should be) way more flexible, and if your prospective owner/boss at a consulting firm expects you be be at your desk 8-5 pm every day, --run don't walk out the door.
6.) Are you good at interviews? Basically every new project you will have another interview with your new client, if you aren't good at small talk and showing your best side, it will be tough to convince your client you know what you are doing.
7.) Pay is mostly better (but not vacation/sick pay) and you will gain lots of contacts and experience that can lead you to being very employable. Honestly never had much fear of being unemployed for too long in the Recession.
8.) As I mentioned above vacation/sick time is in short supply (compared to a utility company) but as a consultant,you have tons of opportunities to take long weekends without using your vacation.
9.) You have to be prepared to act a bit more like you are running your own company than working for one. -That being; consulting firms will cut you loose in a NY minute so always have a backup plan.
10.)Never sign a do not complete clause.
11.) Are you licensed? If not get your license first.