Have a Tax Question? Ask a Tax Expert
You can do consulting and not form an entity for the business.
See Who Is Considered Self-Employed? - IRS.gov
As a sole proprietor you will file Schedule C (Form 1040), Profit or Loss from Business or Schedule C-EZ (Form 1040), Net Profit from Business to include the net income from consulting in your income subject to income tax.
And you will file Schedule SE (Form 1040), for your Self-Employment Tax if you have more than $400 net income from the activity.
Since you will not have any tax withheld from the payments to you as a contractor, you may need to file 1040-ES, Estimated Tax for Individuals if the withholding on your pension is not enough to cover your tax due for the year. For more details see Estimated Taxes
Please ask if you need clarification.