I think a lot of people do this with varying degrees of success. I think it also depends a bit on what your goals are and what you see yourself doing to generate income for the rest of your life. Almost nobody lives off of their art alone, most "successful" artists that have gallery representation do a certain amount of teaching or have some other side business to generate the rest of their income. That is just a reality of the art world. Some artists don't ever get major representation with a NY or LA gallery or the recognition of the art world but are able to live off of the sales of their artwork through smaller commercial galleries. A lot depends on the kind of art you want to make and the market it is for. There aren't a lot of positions for art professors, but if you want one you need an MFA, and if you want a job that actually keeps you intellectually involved in the art world being a professor seems like a pretty good one.
I am by no means an expert on any of this, I can just relate what I have seen in my experience. I think that if you want to be a part of the larger "serious" art world that means not only making and showing art, but participating in the academic world also. Artist talks/lectures at institutions, visiting artist positions at schools, for some people even writing for journals etc. I think if you want to do that, an MFA will help you get you there faster than anything else. Some people certainly chafe against this and want nothing to do with it, but I think more serious artists like to talk about art as much as they like to make it. You may not need an MFA to do any of this, but if you take a look around you will see that most of the people doing that will have them, and a lot of the people who don't are older artists who come from a different generation.
My advice—in regards to working a day job and being an artist—is to move to one of the major art hubs like New York or LA and then stay there. Sure, you could make art in a smaller city, but there are going to be a lot less people to interact with and a lot less money to support it. I lived in Chicago for a year before moving to New York and found getting into the art world in New York to be much easier. To me it seemed that everyone in Chicago already knew each other, in New York people seemed more receptive to meeting new people and talking to them/helping them out. But I am aware that that is a anecdotal and subjective experience and other people may feel differently. Another thing to consider are residency programs, they are less of a commitment than school, but would offer you access to a similar community.
I am trying to be as practical as I can in my advice because that is how I am looking at this for myself. I don't think that MFA programs are the only route to being a good artist or a successful artist and I don't think that there is anything about LA or New York that will necessarily make your work better. I do think that for the most part the movers and shakers are in those locations, and for the most part they pay attention to whats going on in their immediate line of site because it's easy and they have to narrow their focus somehow.
Like I said before, trying to be an artist is a gamble. You are no more likely to see a financial return on it than you are buying a Powerball ticket. But that isn't really how you should be looking at it. Trying to be an artist is more like getting married or having a kid, in the end it may be a lot of work and money but you do it to enrich your life, not to make a profit. Getting an MFA, talking to other artists, having a gallery, are all things you do to enhance this experience, not monetize it.