Tried that while I was still at Redbeacon. It's very difficult because you are in this start/stop mentality from the daily grind. Also it kept me tied down. If you don't take the leap, you don't have the full weight of the situation on top of you. Thoughts?
I downloaded the iPhone SDK in March 2008, whilst on vacation in DC. After working with it for a few months, I quit my job, but in that case, I'd written a few non-trivial programs and knew writing Objective-C and Cocoa code was what I wanted to do. Sure as hell beat writing business software and teaching C# to business grads, though anything is fun if you're determined to enjoy it.
Total pay cut, maybe $160k and rising. Yeah, still the right decision, though money has been tight.
The key point is that I had a solid grasp of what I needed to do technically to survive after quitting, and I was not jumping into the unknown, just the not yet done.