If it were me, I'd start small. Either try to find a studio at which you can freelance, or buy a house that would allow you to build within that, either detached garage or basement, or just convert the house itself...perhaps similar to what Sturgis uses (although I don't know much about his studio other than it looks like a house, haha).
I've been toying with the idea of buying a house to use as a "studio". Around these parts a house can be had pretty cheap these days, and since I won't be living there, it doesn't have to be huge. You can buy 2 bedroom, 1000-1200 square foot houses for around 20-50K pretty easily. All in (taxes, insurance, etc.) it would be comparable to renting a rehearsal space for a band, and much less than renting space for a studio IMO, and you'd have free reign to do what you want. May not be perfect, ideal room construction, but with time, patience and planning, you could make it work.
Bums me out, my grandma had a small house in the city I live that she inherited from her mother (my great grandma). It was around 1000 square feet main floor with a full finished basement (well, cement floors and cinder block walls, but waterproof). Needed a bit of updating and a new roof. She held on to it for about 10 years letting my aunt live there. My aunt got married about 5 years ago and the house was left empty. The house was paid off, so to avoid another year of taxes and insurance, she sold it to a property buyer for 10K...I was furious when I found out, as was the rest of the family. My mom and dad had even said they would have paid half the cost for me to buy it and build a studio. 2 bedroom house, with a living room, kitchen and bath. The configuration would have been perfect for a control room and 2 tracking rooms with the ability to have been able to see both tracking rooms via windows to the control room. With current rates and the house appraised value (roughly 40K), I could have loaned out for more, fixed some things and had some interior work done, for around 200-300 month @ 30 yr fixed rate...Still hoping to find something like this at some point...Although my wife wants me to convert our detached 24x30 garage to a studio space.