No such filing statuses exist. If you are a sole proprietor and own your own business, you are self employed. It does not matter if it's a small business, big business, hobby for profit, or anything else. The only different between "self-employed", single member LLC, and "independent contractor" is the spelling. (Literally!). The business is still a "disregarded entity" as far as the IRS is concerned.
Maybe you are talking about changing your business model from a disreguarded entity to something like an S-Corp? TO do that requires registration as such at the state level or higher. Doing that requires the business to file it's own completely separate tax return, which has to be done first, before you as the business owner can even start your personal tax return. This is because the business will issue tax reporting documents to all of the owners, which the owners will use to report their business income on their personal tax returns.
Unless the business has a large gross income (like in excess of $500,000 a year) and has a high probability of being sued for liability, it really is not worth the effort to do this, and incorporate. You'll be spending money for this, on which you may most likely see no return on the investment. Not to mention the legally required record keeping that is necessary. If it sounds like I'm trying to discourage you from doing this, it's because I am, based on the assumption that your business does not generate the income to warrant it, and does not have a high risk exposure to being sued.
