Another agency owner here, hope you don't mind me answering your question as well :)
In short, this is what you can expect to change once you start transitioning from a freelancer to an agency:
Shift in your mentality from owning a job to owning a business. Challenge: it's different to own a business, your role will change. Solution: being ok with the change.
You will have mouths to feed. Challenge: making it so that enough money comes in every month. Solution: charge much more now, create recurring revenue streams and learn how to sell and market yourself.
Working on only one project at a time will become a thing of the past. Challenge: to manage ever-growing work profitably. Solution: creating protocols, processes and using professional software to aid you in business organization.
Your clients will require that you provide an ever-increasing scope of services. Challenge: you're now used to provide a narrow scope of services, but the clients will want more from you, and your agency will need to provide more in order to stay in business. Solution: start offering a full range of services now and get used to creating recurring revenue streams from what you're capable of offering.
Your question was great, it intrigued me to turn it into a more comprehensive answer on my blog here where I keep a growing list of questions and answers about the business of website development.
Another agency owner here, hope you don't mind me answering your question as well :)
In short, this is what you can expect to change once you start transitioning from a freelancer to an agency:
Your question was great, it intrigued me to turn it into a more comprehensive answer on my blog here where I keep a growing list of questions and answers about the business of website development.