As a self employed itinerant based in Illinois I have been told by my insurance agent that I can buy Workmans Comp Insurance, but it is very expensive and because of the laws in Illinois I can not file a claim because I'm self employed. I am usually covered by whoever hires me by their workmans comp when I work in their shop.
In order to be considered a sub contractor and not an employee, I do however carry a 2 million dollar liability insurance policy, provide all my own tools, I must work for more than one contractor or business in any given year and I don't get paid overtime. I also do not qualify for unemployment insurance.
My advice would be to talk to your insurance agent, find one who knows about small business insurance. I use Country Mutual Insurance based in Bloomington IL.

Tom