I'm thinking of changing from 8 speed to 9 speed. What are things I should keep in mind before changing free wheel?
Rear hubs most of the time will accept anything from 7-9 speeds without modifying. In other words, any hub originally 7,8 or 9 speed should fit 7,8, or 9 speed. Regarding hub to cassette non-compatibility 10, 11 and now 12 speed cassettes are the ones that are not compatible. You will need a new shifter and 9 speed chain.
One thing to keep in mind after yo determine whether you have a cassette or freehub is to determine whether you have a uniglide, hyperglide or hyperglice C. That will dinnertime what compatible cassette you need.
There are maybe a half dozen other things to consider and keep in mind that I can't recall specifically but I can point you to a great source of info wich is where I would refresh my memory at the links below. You may want to review my friend Sheldon's pages where he has a wealth of info on this and many subjects at: