The time to set up a free society is now. Unfortunately there is very little space left in the world for this to happen, so it seems we are stuck choosing certain attributes of an area, such as population size and relative size of the government, in determining where to go.
There is a place that this is being attempted in now. New Hampshire was chosen by the Free State Project as the place for freedom activists to be.
Moving your life is never easy. It costs time, money, and sometimes relationships, but the rewards could far outweigh the penalties. Creating a free society requires a certain concentration of like-minded people, of this there is no doubt.