Most aspiring entrepreneurs face a dilemma. They want to start a new business but they don't want to give up their jobs--and the security of their paychecks--until they absolutely have to. On the other hand, launching a successful company is consuming enough without combining it with full-time employment.

What do you do? Most either sacrifice sleep and family time while they struggle to serve two masters, or they leave their jobs and live on savings, spouses, parents, or investment money until the company begins generating revenues.

There may be a third option: Create something your company needs and make your employer your first customer. That approach worked beautifully for serial entrepreneur Steve Elliott when he founded his newest company, agile software development tool AgileCraft.

As chief technology officer at his firm, Elliott knew that an agile development tool that would work for an entire company was badly needed. He knew he could create one. But he didn't want to give up his job. "I went to the company I was working for and said, 'I'm looking at doing something innovative to solve a problem. I will let the company use it for free, but I will retain the intellectual property (IP)."

His bosses agreed, and Elliott and his team spent eight years perfecting AgileCraft while still gainfully employed. "They were very pragmatic," he says. "They knew we could solve a problem for them and they didn't have to pay for it. They were fine with that, as long as I kept up on my core responsibilities."

Keeping his job meant Elliott could start his company with minimal upfront investment. "It was painful," he says, "but we were careful about hiring and stretching as far as we could before taking on real money." That meant creating a remote and largely contractor work force, which was fine with Elliott. "With some of the software you can get now for collaboration, it's easy," he says.

The strategy paid off big. With eight years of development and testing in real use by a real company, AgileCraft came on the market in 2013 as a fully mature product. "Most start-up software companies have to spend millions to develop their product," Elliott says. "Our customers say, 'This company has been around for less than a year--can they really have solved this big problem?'"

Yes they did, and it wasn't long before acquirers and investors recognized that and came calling. "This is the only startup I've ever been involved with where we received four serious inquiries in the first year," Elliott says. They had just about said yes to an acquisition when Houston-based investors Jim Crane and Hunter Nelson came along with an offer AgileCraft's founders couldn't refuse: a deal that valued the company at 34 times revenue, put millions on the balance sheet, included payouts for the founders, and left nearly half of the company's share in the hands of the founders and employees.

It all came about because Elliott chose to start his company and keep his job at the same time. "A lot of people try to moonlight and build something on the side, which they may not be allowed to do under the terms of their employment," he says. "I like the way we did it. There are some employers that wouldn't go for it, but I believe there are a lot that would."