In most locales you are by-default a Sole Proprietor already. As long as those companies are paying you as a 1099 (and not a W2) then you should be able to write off most of the expenses.
That being said, I'd recommend you head to your local Barnes and Noble and grab one of the Nolo books on incorporating a company, they are fantastic resources.
That being said, I'd recommend you head to your local Barnes and Noble and grab one of the Nolo books on incorporating a company, they are fantastic resources.