Do I really need to setup a business entity?

So Ive been earning income part time as a "side hustle" for about 10 years. Ive always reported all my earnings and basically filed as a sole proprietor. Even took many basic business deductions. As I near retirement years Im planning on putting more effort into it to increase my earnings to one day become my main source of income. Is there any reason why I should consider setting up an llc or s corp? if its just for asset protection wouldn't an umbrella liability policy do the same thing? im not against this and know I will need to consult a lawyer but would like the boards thoughts on this.