Starkers,
Your agency work has given you some clips/samples that you can use to get your own clients. I would recommend reading some books by Bob Bly. He is a copywriting king and his books are very well written and easy to read/understand. He also includes many sample letters and correspondence that will help you get started.
I've done some copywriting work for colleges, universities, and non-profits. I did some Internet research to figure out who their marketing communications contacts were and then emailed them my letter of introduction (LOI).
Be prepared to consistently follow up with your "warm" leads -- those who reply and say that they do use freelancers, but don't have any projects at this time. I landed a university client last year with this approach. Every few months I'd check in with my contact. While that can sometimes feel like you're being a pest, you have to keep your name in front of your warm leads. Finally, she contacted me "out of the blue" with an assignment. So persistence pays off here.
When I was starting out I asked experienced copywriters on another forum if e-mailed LOIs was a good idea. 99% of them said yes.
I had debated sending snail mail letters, but could never get it together with those. I'm such an email/Internet person.
You'll just have to try out different marketing methods (cold calling, emailing, snail letters, brochures, etc.) and see what works for you. If you don't have a lot of money to invest, email is always there.
PS. Bob Bly's book that I love is called "Secrets of a Freelance Writer: How To Make $100,000 a Year or More." Very good resource!
Good luck!