I currently share an iCloud with my husband but would like to set up my own iCloud.

I am under a family iCloud account with my spouse but would like to have my own iCloud and no longer be under the family iCloud.

You'll have to remove your device from your current Apple ID, and then make a new Apple ID.

Manage your ID here.
Manage ID
https://appleid.apple.com/

You need your own iCloud, iMessage and Facetime ID's. You can share the iTunes ID so you can share the same iTunes purchases. That's not the same as family sharing.