Generally - there is nothing to HAVE to do - you may start immediately to provide services - and that would determine your self-employment status.
Some professions require license. Retailer who collects sales tax - should have registration with state DOR - as you will provide services for other businesses - there is no sales tax - and no such registration required.
You may - but not required - have a separate tax ID for your business (if you do not want to give away your SSN), separate bank account, etc.
You may form LLC or incorporate the business - but that would make sense if you self-employment activity will bring you substantial income.
Please be aware that you may not deduct any business expenses unless the business already started to operate. Any expenses BEFORE the business started are start-up expenses and there are special rules how they may be deducted - no deductions if the business is not started.
Please let me know if you need information about tax reporting for your self-employment activity.