Starting a nonprofit is easy, getting tax exempt status is not quite as easy but possible as long as you have well-written incorporation documents and by-laws. I have been through that and basically to create a nonprofit costs just the registration fee with your state, usually less than $100. And you need the paperwork, that can be found online or you can hire a lawyer. But then the real fun starts. You may not accept charitable contributions until you have an IRS 501(c)3 tax-exemption letter. However you can earn ordinary income as a nonprofit, just not take donations that will be tax-deductible to contributors.
To become a 501(c)3 you have to file with the IRS after you are incorporated and pay a fee, when I did this it was $500. Next file for a preliminary declaration of tax-exempt status, basically a letter you will get from the IRS when they have reviewed your information. That took me about 9 months, it can be shorter than that but also longer, I think depends on the type of business and how it will be evaluated. Then over the next 4-5 years or so the IRS will monitor your corporate tax returns to see if they should grant a permanent status.
The umbrella idea (jewel above) is good, particularly if you will have a small business. I only went through this headache because I had to in order to accept certain research contracts. There are some nonprofit umbrella organizations that might help.