I worked on a side business for about a year, right after I got married. At the end of that time, when the founder of the company I worked at and I had some irreconcilable differences, we parted ways and I worked on my side business full time.
That was 3 1/2 years ago and now I own two companies; the first one I started which is a quite successful marketing business and the second which is a mobile/social app startup that just graduated from an incubator here in SD and is raising a round of capital.
What I ended up doing to stay sane was relatively simple:
1. I set effective boundaries with my day job. I wasn't paid to work extra hours or do stuff above and beyond my job. I did what I could but made sure that I also stuck to my guns when I wasn't willing - or was unable - to do something. With this I could focus when I got home and not feel completely drained (most days).
2. I planned out my side work-time and stuck to it. Instead of just working every available second, I did my best to plan out when I worked on it and when I didn't. By sticking to these rules, I avoided largely burn-out and was able to move forward at a steady pace. However, when you are on something hot, be ready to give that extra push if it will pay off; you'll know when it happens :)
3. I didn't forget my home life. My wife and I had just married and were both working our asses off. We did our best to get time out and be together, whether that meant playing video games or going to the park. One of the perks of my job was that I could take a bit of time off if needed (Friday off meant working a bit longer during the week) which made things easier.
4. I didn't quit my day job prematurely. When I ended up leaving the job, it was too early, but I didn't give in to the temptation to leave far too early when it would probably have sunk us. Be patient and methodical with your side business until you are pretty damn sure you're ready. If you just hop off willy-nilly, you can be sure things can go south quickly.
This was my experience with it, and I'm thankful every day I did it this way. Everyone has a different experience and different priorities, but hopefully this can help you too.