For the self-employed, even if the will to save for retirement is there, the way can be problematic.

As the tax season rolls into its final few weeks, if you’ve made the transition to being your own boss last year, you still have time to ramp up a retirement account. (For more smart tax strategies, go to the Forbes 2011 Tax Guide).

And there are plenty of you newly-minted small business-types out there. New data from the Kauffman Foundation released in March shows that last year more Americans became entrepreneurs than at any time in the past 15 years.

According to the “Kauffman Index of Entrepreneurial Activity,” a leading indicator of new business creation, 0.34 percent of American adults created a business per month in 2010, or 565,000 new businesses per month.

And it’s not just a young person’s game. Entrepreneurship activity was highest in the 35-44 and 55-64 age brackets.

Whoo hoo, if that’s you. Being your own boss is great in so many ways. There’s no need to ask permission to skip out of the office to catch a ballgame. The buck stops with you. You’re doing something you love.

But it’s easy to get tripped up on some of the things you took for granted when you worked for your old company, for instance, a no-brainer retirement plan handed to you in a tidy package.

One of the biggest mistakes entrepreneurs make is not planning adequately for their retirement. This isn’t all that surprising. If you’re self-employed, it’s a squeeze to set the money aside, even if it is tax-deferred. There’s a fear that you may need those funds to keep things rolling if the business doesn’t grow the way you expect, or clients are lax on paying your invoices.

And if you’ve been focused on funding your start-up costs, it’s even more likely you have put it on the back burner. You may even rationalize not saving for retirement with the dream that ultimately you’ll sell your rip-roaring business and live off the proceeds in your old age.

The truth is Uncle Sam does offer help a variety of relatively painless plans to help self-employed small-business owners save for retirement in tax-favorable accounts. Here’s a round-up of the three main options:

1. SEP-IRA. If you’re a one-man or woman band, this account is a good bet. A simplified employee pension, or SEP IRA, is  a basic way to set aside pretax savings. You can contribute as much as  25 percent of your net self-employment income, up to a maximum of $49,000 in 2010 (same for 2011). A SEP-IRA, however, cannot be a Roth IRA.

Best features: Flexibility. There’s no need to fund the account until you file your return. So if your net income turns out to be higher than expected, you can make a larger contribution and trim your tax bill. If you have a bad year, you can reduce your contribution.

Another plus: If you’re building your new business on the side while still working for an employer who’s sponsored 401(k) plan you contribute to; your contributions to a SEP don’t interfere with your current workplace plan.

Caveat: This plan may be costly eventually if you have employees, as opposed to contract workers, because the money you put into a SEP counts as an “employer” contribution. You must make the same percentage contributions for all “covered,” workers, or those who are 21 and older who have been employed by you for at least three of the last five years and are expected to earn $550 in the current year. Your spouse is exempt. Generally, you can deduct the contributions you make each year to each employee’s SEP-IRA. If you are self-employed, you can deduct the contributions you make each year to your own SEP-IRA.

Filer Tip. It’s not too late to set-up an account for last year. You have until the due date for your 2010 tax returns, including any extensions (meaning as late at Oct. 17^th, 2011), to both set up and fund the plan for 2010. You can open SEP-IRA at practically financial service company including  banks, mutual fund companies or brokerage firms. Firms such a Fidelity, Schwab, T. Rowe Price or Vanguard will set up an account gratis, and account fees are low or nil.

2. Solo 401(k). This is a solid choice for business owners and their spouses who are able to set aside a significant portion of their earnings. With a solo 401(k), as an employee, you can stash away as much as $16,500. As the employer, you can contribute another 25% of compensation, up to a ceiling of $49,000 for 2010 and 2011, including your employee contribution. If you’re 50 or older, you can toss in another $5,500 extra. Total savings: a whopping $54,500.

Best features: Generous contribution limits. If there’s a set-up or annual fee, it will be low. You might pay a small set-up fee, $100 or less, plus an annual fee of $10 to $250. There are no set-up fees, for example, at Fidelity or Vanguard.

And these contribution amounts are optional, so you can save the top figure in flush years and zilch in leaner times. If you already have an individual retirement account funded by money rolled from a previous employer’s 401(k), you can roll those retirement savings into your new solo 401(k). Some accounts also offer a Roth option–you put in after-tax money that grows tax-free. T. Rowe Price and Vanguard provide the Roth option.

It’s also possible to take out a loan against a solo 401(k). That can be useful if you need funds in a pinch. You can borrow half the account’s balance, up to $50,000, and normally can take up to five years to pay it back (provider rules differ).

I don’t recommend borrowing from your plan unless it’s a serious situation. But having the option can make it easier to get over the psychological hurdle of opening a retirement account. If that is something that matters to you, be aware that many financial firms don’t offer it. For example, Fidelity, T. Rowe Price and the Vanguard Group don’t allow loans. Oppenheimer and TD Ameritrade do.

Caveat: No extra employees can participate-only self-employed business owners and a spouse. This is not the best option if you’re still working a day job. If you contribute to an employee 401(k) at your day job, you might already be saving the max. You get only one combined $16,500/$22,000 employee contribution limit to a 401 (k) plan, no matter how many jobs you’re working.

Filer Tip: The deadline to open a new plan is typically December 31(or fiscal year end) and must be funded by your tax return due date, plus extension. This is a traditional “qualified” pension. That means you must file an annual Form 5500 report once you have $250,000 of assets in it.  So you may have some paperwork here. Fidelity and Vanguard, for example, provide the information you need for the form, but do not complete or file it for you.

3. A SIMPLE IRA. A.K.A. a savings incentive match plan for employees. A SIMPLE IRA is designed specifically for small businesses and self-employed individuals. If you have a few employees, say, less than 10, who make more than $5,000, but far from six figures, and want to offer a plan for them as a perk, this is probably the one for you. It was designed for firms with no more than 100 employees.

For 2010, you can make an employee contribution of up to $11,500 pretax, or $14,000 if you’re 50 or older. (Same for 2011.) There isn’t any percentage of income restrictions. Your contributions are tax deductible, and your investments grow tax deferred until you are ready to make withdrawals in retirement.

A SIMPLE IRA is a little burdensome if you’re a fledgling firm. You’re generally required to make a contribution to match each employee’s salary reduction contributions on a dollar-for-dollar basis up to 3% of the employee’s salary or a flat 2% of pay – no matter what the employee contributes to the account.

Best features. Easy paper work. It should take about 15 minutes or less to fill out the forms.

Caveat: This one isn’t for moonlighters–you can’t contribute if you’ve already maxed out employee contributions to a 401(k) at your day job. Also, if you need to make a withdrawal from a SIMPLE IRA plan within two years of its inception, the 25% penalty is significantly higher than the 10% fee you’d be charged for early withdrawal from a SEP IRA.

Filer tip. It’s too late to set up a new SIMPLE for 2010; you must set one up by Oct. 1 to make contributions for that year, and all employee contributions must be made by Dec. 31. You can set up a plan for 2011 now.

For additional guidance on retirement plans for the self-employed, see IRS Publication 560.

As Bobby Whitlock, songwriter and one-time member of Derek and the Dominos, sang: ”If there’s a will, sure enough honey, there’s a way. ”

To tap into more smart tax strategies, go to the Forbes 2011 Tax Guide.

Kerry Hannon is the author of What’s Next? Follow Your Passion and Find Your Dream Job, available here www.kerryhannon.com. Follow me on Twitter, @KerryHannon