Try contracting. Seriously. Go to a local user group and talk with people who contract and see what the going rate is in your area. Its probably 2x to 2.5x of what you're getting now.
In the US, there's a Social Security payroll tax (previously 12.4%, now 10.4%) that's split between employer and employee. Self-employed people pay it themselves; their clients don't.
I think what he meant was that you have to consider a hefty tax burden come April 15 because, as a contractor, you don't get taxes taken out of your paycheck. This is where having a good accountant and knowing what expenses you can deduct comes in (to reduce your taxable income).
If for nothing else, you should have a business just so you can claim more expenses and reduce the amount you have to pay Uncle Sam (from my understanding, all you need to have is a profit motive -- not necessarily profits).
My tax guy always tells me: the US hates employees. There are more loopholes if you contract or (even better) have your own business (which could be a contracting business).
Plus you don't get taxed at source so you can take that extra 30%+ you get each paycheck to pay a tax person to figure this all out for you in time to save up for the tax hit at the end of the year.
