Dear dear. No protection? It's a harsh world out there. Contracting is either for you, or it ain't. That's why contractors generally earn good wages, mostly free of deductions. The idea is that a pilot is selling his services to suit himself. Agencies provide the "shop" to select the next job.
If you really want to go find your own job, that's OK too. Make sure you get a contract before you start working though. It's funny how the terms and conditions can change quite a lot to suit the airline after a month or two. Who looks after you then?