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It might be a good idea to invest in a few security related and firearm training courses. There are various sectors in the security industry, so do some research and determine in what sector you would like to work and you can excel in. Some companies might accept you with just your military experience while others might have different requirements.
Different positions have different requirements, salaries, working hours and working conditions. See what vacancies fit your profile and apply for those or make your CV - resume - available to recruitment agencies or websites.
Good luck