Starting own agency to negotiate own contract?

I'm planning on returning next season to the facility I'm currently at, and they have made it clear to me that they would be thrilled to have me under whatever circumstances can be arranged. Someone let slip just how much my agency is charging the facility per hour to have me there, and I was absolutely floored. It is basically twice what I'm making. Since it is a state facility, I wouldn't be able to simply come on as a staff nurse and negotiate a different contract, as they have a set scale. I would have to be working for an agency for the state to pay out that agency scale.

So, the thought occurred to me, maybe I could start my own little business and arrange my own contract. I imagine it would be quite complicated to begin with, but the payoff would certainly be worth it.

Has anyone here ever done something like this? What are some suggestions, pitfalls, any resources for walking through the process?