The requirements for starting a business vary from state to state; therefore, you should check your state laws. Note that being a security guard is different from a being a bodyguard. As for the latter, you might be required to have some extra skills and a license might be required. Even if the license is not required, you must obtain it as it will strengthen you image and clients are usually more interested in bodyguards with license.
There is always room for improvement; therefore you should try to improve your protection skills. In jobs like these, individuals are often required to demonstrate their protecting skills.
You should try to make strong connections with the individuals in law enforcement agencies. There is always a chance that you will have to strengthen your man power, so you should socialise with the people in law enforcement. This will not only help you in finding a good job for you, but you can also employee people at the hour of need.
You should market yourself to the right audience. Keep in mind that people with huge income are more likely to hire bodyguards.
You should have a business card and hand it over to as many people as possible.