Your first client can come from anywhere and I am sure that you will find a mix of referrals, past employeers, networking, website, etc. Mine came from a referral of some freelance work I did which is why I officially opened my doors.
You need to find which marketing techniques work best for you and make a plan around that. I get clients from local networking as well as referrals and on the web.
Participating in forums is great
PR for you business as long as you offer/add and don't advertise yourself. Social networking seems to be working well for me as well, there are some great threads here on that as well.
Competition is great so you need to set yourself apart by focussing on your niche or something you can offer others do not. Just be careful to not sell yourself short.
I guess what I am trying to say is there is no right or wrong way to market and it may take time for your first client but they will come.