The dangers are, can you hold it? Pirates and governments don't want it for itself. They want it for the valuables you just brought to it. If you form a nation (or take over the old one), can you hold it?
Your better bet is getting to the USA, and forming a PMA (Private Membership Association) for starting your own nation right on your own land. DONE PROPERLY (using the 70+ SCOTUS decisions, plus the 1st and 4th Amendments) this can be done legally.
Once you have strength with the USA, then move on to greater things.