I have worked at a spa for several years and am now building my own practice and within the year I expect to be fully on my own. I think working independently is the BEST, I love it and prefer it for many reasons, but I think the best way to go (for me) was to start at a spa and here's why.
By working at a spa in the beginning you can do lots of massages without having to worry about the business aspect of it (if you are an employee, or an independent contractor with few responsibilities) and I think that doing a lot of massages is what made me good. (Practice makes perfect) If I had started on my own with just a few clients a week, it would have taken much longer to build the confidence and skill that came with 10-15 or more massages a week. I also felt free at the spa to experiement and change up my style frequently because I wasn't worried about losing clients. I worked in a tourist area, so a lot of the people were just one timers. I feel like this really allowed me to hone my skills without the mental stress of running a business, ie "if I give a "bad" massage will I lose that client?" meaning lose that $$ So I could take risks with creative techniques and build my confidence.
Also, you can see how they run the spa and decide what they do well and what they do poorly. After working in a spa I knew which equipment I wanted to buy for my home practice, what I definitely didn't need, what aspects of the environment make for a good treatment, and what aspects really don't matter to me. And I did all this without having to experiment with my own practice and either risk losing clients, or spending lots of money on something I might not use. Also, I learned that I like to have at least 15 minutes between clients, and ideally 30 minutes between clients. I feel like I was able to fine tune a lot of aspects of my practice before even starting so I "hit the ground running" so to speak and my private practice has soared pretty much as soon as I've started it.
I'm sure many, like elsewhere, have gone independent with no spa or other work. Good job! I'm not so business minded myself and I really gained from the time I got to observe and work at the spa and I know my private practice now has benefited greatly from it.
Good luck!