As a creative, I have a soft spot in my heart for creative business owners just getting started. As a lawyer, I have a special pain in my side reserved for the times when someone brings up their sole proprietorship, DBA or partnership.
Sole proprietorships are so easy to establish that you may already own one without realizing it -- all the more reason for getting set up properly so that you can make more money, minimize taxes, and avoid potential problems.
Chances are, you're already running a sole proprietorship. Now, educate yourself on the pros and cons, the tax implications, and the legal liabilities to determine if you want to remain a sole proprietorship.