Test the waters of the real free-market
Is there a danger in agorism- the so-called "black- and gray-markets"- that is not present when dealing with "governmentally licensed" businesses?
Would a loan-shark be more likely to arbitrarily change the terms of your deal than an "FDIC-insured" bank? Or a credit card company? Are you sure? Have you read those notices they send you on a regular basis?
Is gray-market aspirin more likely to be a worthless placebo or to come from a dangerous batch than that which has been governmentally inspected or approved?
Even if this is the case, how much of the danger comes directly from the consequences of government meddling in what should be a free market, and keeping good people out of such endeavors? A lot of otherwise good people still have a morbid desire to be "law-abiding".
If you have chosen to deal with those who, by the very nature of avoiding "imperial entanglements", must remain "outlaws" you can't go running to tattle to the state if they harm you. This leaves private arbitration. Since private arbitration hasn't really taken off yet, you might have a hard time finding someone to act as a go-between.
I don't see this as a flaw in the free markets themselves, but as a temporary danger due to government getting in the way of free trade and interfering with the natural tendency of bad-actors to suffer the consequences of their dishonesty. No one is forcing you to deal with any particular un-sanctioned business. Only government (or other mafia) forces people to do business with its agents and offices. Find out who is trustworthy and who is not. Buyer beware, always.
I think the risk is worth it. Nothing is 100% safe, after all. Free trade, without government "permission", is probably the most powerful place to start, after your recognition of your self-ownership. "Trade" is moving beyond the self into the wider world. If you really want freedom, it is necessary. You have to start sometime and somewhere.
And, who knows, maybe you are just the right person to start a counter-economic career arbitrating, under the radar, for the real free market.
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Those who want you to doubt that anarchy (self-ownership and individual responsibility) is the best, most moral, and ethical way to live among others are asking you to accept that theft, aggression, superstition, and slavery are better.
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