Be careful with this decision, because here in Italy taxes are a real pain :/
You can open a "partita iva", and depending on your situation you can enter in different "regimi" The cheapest one is the "regime forfettario" which is about a 5% tax calculated on 78% of your earnings + 26% for INPS. (Only if you earn less thank 65k/year. If you earn more you cannot enter in this regime)
Otherwise if you enter in the standard regime is way higher because that 5% becomes about 22% + 26% INPS which is way too much.
Opening a company is about the same regarding taxes, the bonus thing is that you can buy stuff as business expenses and pay little to no taxes on those.
Anyways, you can contact an online financial advisor for a free consulence. He will tell you what's the best thing to choose in your situation. Let me know if you can't find one, I will give you mine.