Free-lancer: Someone who works for themselves on their own time at their own pace.
Small-business owner: Someone who runs a small business and is integral to it continuing and succeeding. He/She can't take any significant time off or it will fail.
Entrepreneur: Someone who builds something, usually a business, to the point that it runs itself.
There's nothing wrong with any of these options, but it's good to clarify and decide what you're shooting for. I'm learning that in my job, the more I can pretend to be an entrepreneur, the better things will be in the long run, whether I'm there or not.