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Yes, you could certainly give advice as a sole proprietorship. In Illinois, specifically in the Rules of Professional Conduct, “Firm” or “law firm” denotes a lawyer or lawyers in a law partnership, professional corporation, sole proprietorship or other association authorized to practice law; or lawyers employed in a legal services organization or the legal department of a corporation or other organization.
If you're licensed, and operating a business (even if you don't have a DBA, tax ID, etc...) then that would still be a sole proprietorship, if you're doing it for compensation. It would be better to have your law "firm" (advice) business in a separate legal entity, to separate out liability. But assuming that you're a lawyer, you can absolutely provide legal advice.
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