Adding to Scott's answer, not only start small, but also start with what you are more comfortable with. Because I had been doing websites for myself for a while, my first 'real job' was a small page. I was familiar with most of the issues I was going to encounter, so it was almost a smooth transition.
There's, however, one other thing I found very useful when I had just started, and that was working with a partner.
The advantages I found were mainly:
- Two brains solve technical issues faster than one brain;
- You might have to spend longer than you initially thought on a project (this could mean hours and hours at a time, perhaps weekends), and having someone to share the desperation with can be quite therapeutic;
- You might have complementary skills that will allow you to work on larger projects;
- You might find it easier to deal with clients if you answer as a collective (or not, I guess it depends on each person!), or if someone perhaps a bit more experienced handles that side of things at first.
You might find your creativity either limited or propelled by teamwork, but for the first approaches I think it tends to work quite well. You don't need to necessarily work with someone, but it might help to have someone who has been working a bit longer to go to in case you have questions (and hey, you can always come here!).
I seriously doubt you will have any issues, you have been doing this at school, the knowledge is there. The rest is practice (mainly dealing with people), that comes with time, but the only way to get started is to take the first step :)