In simple advice, start your own company first if you can figure out the financial support, because once you start working for another company you will be too busy and also you will have the fear to start your own company because it will drain all your time and money. The fear of difficulty in getting the documents done on time, the fear of losing so much money and the fear of not having enough time for your work will stop you from starting your own business.
However, if you start your own company first then you will have plenty of time to focus on your own business, you will also have no fear in doing all the documentations required. The only fear will be losing money in business, but if you are the only employee of your company then you can break-even fast to avoid spending more money. I have met many people who works for big companies, and only option they have is investing their money on another entrepreneur because they said they don't have time to be involved in the business.
How can you manage your business while working for another company?
The best way to manage business while working for another company is by having the right manager for your company and outsourcing your legal work such as accounting to another audit companies. This will reduce your time and help you to focus on more important things.